scholarly journals On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application

2020 ◽  
Vol 9 (3) ◽  
pp. 817-843
Author(s):  
Adel Chala ◽  
◽  
Dahbia Hafayed
Keyword(s):  
Maximum Principle ◽  
Stochastic Control ◽  
Mean Field ◽  
Stochastic Maximum Principle ◽  
Field Type ◽  
Risk Sensitive ◽  
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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