Maximum principle for discrete time mean-field stochastic optimal control problems
Abstract
In this paper, we study the optimal control of a discrete-time stochastic differential equation (SDE) of mean-field type, where the coefficients can depend on both a function of the law and the state of the process. We establish a new version of the maximum principle for discrete-time stochastic optimal control problems. Moreover, the cost functional is also of the mean-field type. This maximum principle differs from the classical principle since we introduce new discrete-time backward (matrix) stochastic equations. Based on the discrete-time backward stochastic equations where the adjoint equations turn out to be discrete backward SDEs with mean field, we obtain necessary first-order and sufficient optimality conditions for the stochastic discrete optimal control problem. To verify, we apply the result to production and consumption choice optimization problem.
Cite
@article{arxiv.2210.01197,
title = {Maximum principle for discrete time mean-field stochastic optimal control problems},
author = {Arzu Ahmadova and Nazim I. Mahmudov},
journal= {arXiv preprint arXiv:2210.01197},
year = {2022}
}