A maximum principle for mean-field SDEs with time change

DOI10.1007/S00245-017-9426-0MaRDI QIDQ1678481zbMATH OpenOpenAlexFDO

Authors Giulia Di Nunno, Hannes Haferkorn

Publication date 17 November 2017

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1608.05993, http://hdl.handle.net/11250/2466053

zbMATH Keywords

mean-field SDEtime changemartingale random fieldsmean-field BSDEsmean-field stochastic optimal control

Mathematics Subject Classification ID

Random fields (60G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Abstract: Time change is a powerful technique for generating noises and providing flexible models. In the framework of time changed Brownian and Poisson random measures we study the existence and uniqueness of a solution to a general mean-field stochastic differential equation. We consider a mean-field stochastic control problem for mean-field controlled dynamics and we present a necessary and a sufficient maximum principle. For this we study existence and uniqueness of solutions to mean-field backward stochastic differential equations in the context of time change. An example of a centralised control in an economy with specialised sectors is provided.

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Cited in

(5)

• Stochastic maximum principle for a time-changed mean field game
• A maximum principle for SDEs of mean-field type
• A time-changed stochastic control problem and its maximum principle maximum principle
• From calendar time to business time: the case of commodity markets
• Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process

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