A stochastic maximum principle for Markov chains of mean-field type
From MaRDI portal
Publication:1712149
DOI10.3390/g9040084zbMath1407.49035arXiv1809.01883OpenAlexW2891140661WikidataQ69036996 ScholiaQ69036996MaRDI QIDQ1712149
Tembine Hamidou, Salah Eddine Choutri
Publication date: 21 January 2019
Published in: Games (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1809.01883
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of optimal control and differential games (49N90) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Stochastic calculus of variations and the Malliavin calculus (60H07) Optimality conditions for problems involving randomness (49K45)
Related Items
Finite state graphon games with applications to epidemics, Optimal Incentives to Mitigate Epidemics: A Stackelberg Mean Field Game Approach, Risk-awareness in multi-level building evacuation with smoke: Burj Khalifa case study, Mean-field risk sensitive control and zero-sum games for Markov chains, Optimal control and zero-sum games for Markov chains of mean-field type
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
- A general stochastic maximum principle for SDEs of mean-field type
- Existence, uniqueness and comparisons for BSDEs in general spaces
- Mean-field backward stochastic differential equations and related partial differential equations
- A martingale approach to the law of large numbers for weakly interacting stochastic processes
- Point processes and queues. Martingale dynamics
- Law of large numbers and central limit theorem for unbounded jump mean- field models
- Solutions of a class of nonlinear master equations
- Large deviations for long range interacting particle systems with jumps
- Large deviations for hierarchical systems of interacting jump processes
- The rate function for some measure-valued jump processes
- Large deviations for empirical process of mean-field interacting particle system with unbounded jumps
- Optimal control and zero-sum games for Markov chains of mean-field type
- Existence of Optimal Controls for Stochastic Jump Processes
- Optimal control of a jump process
- Optimal Control of Jump Processes
- Control of jump processes and applications
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- A Mean-Field Game of Evacuation in Multilevel Building
- Stochastic Calculus and Applications
- A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
