scholarly journals On mean-field stochastic maximum principle for near-optimal controls for Poisson jump diffusion with applications

2013 ◽  
Vol 2 (3) ◽  
pp. 262-284 ◽  
Author(s):  
Mokhtar Hafayed ◽  
Abdelmadjid Abba ◽  
Syed Abbas
Keyword(s):  
Maximum Principle ◽  
Mean Field ◽  
Jump Diffusion ◽  
Stochastic Maximum Principle ◽  
Optimal Controls ◽  
Poisson Jump

scholarly journals A Stochastic Maximum Principle for Markov Chains of Mean-Field Type

Games ◽  
2018 ◽  
Vol 9 (4) ◽  
pp. 84 ◽  
Author(s):  
Salah Choutri ◽  
Tembine Hamidou
Keyword(s):  
Maximum Principle ◽  
Markov Chains ◽  
Martingale Problem ◽  
Mean Field ◽  
Necessary Optimality Conditions ◽  
Stochastic Maximum Principle ◽  
Jump Processes ◽  
Field Type ◽  
Cost Functionals ◽  
Well Posed

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.

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