A Stochastic Maximum Principle for Markov chains of mean-field type
Probability
2018-09-07 v1
Abstract
We derive sufficient and necessary optimality conditions in terms of a stochastic maximum principle (SMP) for controls associated with cost functionals of mean-field type, under dynamics driven by a class of Markov chains of mean-field type which are pure jump processes obtained as solutions of a well-posed martingale problem. As an illustration, we apply the result to generic examples of control problems as well as some applications.
Keywords
Cite
@article{arxiv.1809.01883,
title = {A Stochastic Maximum Principle for Markov chains of mean-field type},
author = {Salah Eddine Choutri and Hamidou Tembine},
journal= {arXiv preprint arXiv:1809.01883},
year = {2018}
}