scholarly journals A maximum principle for fully coupled stochastic control systems of mean-field type

2014 ◽  
Vol 415 (2) ◽  
pp. 902-930 ◽  
Author(s):  
Ruijing Li ◽  
Bin Liu
Keyword(s):  
Maximum Principle ◽  
Control Systems ◽  
Stochastic Control ◽  
Mean Field ◽  
Field Type ◽  
Fully Coupled

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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