scholarly journals Switching diffusions with mean-field interactions: limit results, maximum principle, and non-Markov systems

2020 ◽  
Vol 122 ◽  
pp. 233-254
Author(s):  
George Yin ◽  
Son Luu Nguyen
Keyword(s):  
Maximum Principle ◽  
Mean Field ◽  
Markov Systems ◽  
Switching Diffusions

A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems

2020 ◽  
Vol 26 ◽  
pp. 69 ◽  
Author(s):  
Son L. Nguyen ◽  
Dung T. Nguyen ◽  
George Yin
Keyword(s):  
Maximum Principle ◽  
Large Scale ◽  
Mean Field ◽  
Control Problems ◽  
Optimal Controls ◽  
Linear Quadratic ◽  
Conditional Mean ◽  
Switching Diffusions ◽  
Wide Range ◽  
Mean Fields

This paper obtains a maximum principle for switching diffusions with mean-field interactions. The motivation stems from a wide range of applications for networked control systems in which large-scale systems are encountered and mean-field interactions are involved. Because of the complexity due to the switching, little has been done for the associate control problems with mean-field interactions. The main ingredient of this work is the use of conditional mean-fields, which is distinct from the existing literature. Using the maximum principle, optimal controls of linear quadratic Gaussian controls with mean-field interactions for switching diffusions are carried out. Numerical examples are also provided for demonstration.

Sign in / Sign up

Export Citation Format

Share Document