A Maximum Principle for Mean-Field SDEs with time change
Probability
2016-08-23 v1
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.
Cite
@article{arxiv.1608.05993,
title = {A Maximum Principle for Mean-Field SDEs with time change},
author = {Giulia Di Nunno and Hannes Haferkorn},
journal= {arXiv preprint arXiv:1608.05993},
year = {2016}
}