A maximum principle for mean-field SDEs with time change

DOI10.1007/S00245-017-9426-0zbMATH Open1374.60094arXiv1608.05993OpenAlexW2964053902MaRDI QIDQ1678481FDOQ1678481

Authors: Giulia Di Nunno, Hannes Haferkorn 

Publication date: 17 November 2017

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

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.

Full work available at URL: https://arxiv.org/abs/1608.05993

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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)

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Cited In (5)

• 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
• Stochastic maximum principle for a time-changed mean field game

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