Switching diffusions with mean-field interactions: limit results, maximum principle, and non-Markov systems
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Publication:4989154
DOI10.4064/BC122-14zbMATH Open1460.60083OpenAlexW3132623925MaRDI QIDQ4989154FDOQ4989154
Authors: George Yin, Son Luu Nguyen 
Publication date: 20 May 2021
Published in: Banach Center Publications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4064/bc122-14
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Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Continuous-time Markov processes on discrete state spaces (60J27) Optimal stochastic control (93E20)
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Cited In (5)
- Boundary value problems for statistics of diffusion in a randomly switching environment: PDE and SDE perspectives
- On laws of large numbers for systems with mean-field interactions and Markovian switching
- Nonlinear limit for a system of diffusing particles which alternate between two states
- Mean-field models involving continuous-state-dependent random switching: nonnegativity constraints, moment bounds, and two-time-scale limits
- A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems
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