A general stochastic maximum principle for mean-field controls with regime switching
From MaRDI portal
Publication:2234325
DOI10.1007/s00245-021-09747-xzbMath1475.60140OpenAlexW3125241416MaRDI QIDQ2234325
George Yin, Son Luu Nguyen, Dung Tien Nguyen
Publication date: 19 October 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-021-09747-x
Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Diffusion processes (60J60) Dynamical systems in control (37N35) Continuous-time Markov processes on discrete state spaces (60J27) Dynamical systems in optimization and economics (37N40)
Related Items (9)
Existence, uniqueness and exponential ergodicity under Lyapunov conditions for McKean-Vlasov SDEs with Markovian switching ⋮ Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps ⋮ Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls ⋮ Stochastic maximum principle for hybrid optimal control problems under partial observation ⋮ Constrained mean-variance portfolio optimization for jump-diffusion process under partial information ⋮ Mean field control and finite agent approximation for regime-switching jump diffusions ⋮ Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions ⋮ Markovian-switching systems: backward and forward-backward stochastic differential equations, mean-field interactions, and nonzero-sum differential games ⋮ A maximum principle for mean-field stochastic control system with noisy observation
Cites Work
- Unnamed Item
- Unnamed Item
- Regime-switching recurrent reinforcement learning for investment decision making
- Continuous-time Markov chains and applications. A two-time-scale approach
- Mean field games for stochastic growth with relative utility
- A maximum principle for SDEs of mean-field type
- Mean-field models involving continuous-state-dependent random switching: nonnegativity constraints, moment bounds, and two-time-scale limits
- A general stochastic maximum principle for SDEs of mean-field type
- Mean field games. I: The stationary case
- Leader-follower stochastic differential game with asymmetric information and applications
- Optimal portfolios with regime switching and value-at-risk constraint
- Hybrid switching diffusions. Properties and applications
- A mean-field stochastic control problem with partial observations
- Stochastic maximum principle in the mean-field controls
- On laws of large numbers for systems with mean-field interactions and Markovian switching
- Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability
- Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
- Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models
- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems
- Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations
- $\epsilon$-Nash Mean Field Game Theory for Nonlinear Stochastic Dynamical Systems with Major and Minor Agents
- Continuous time mean-variance portfolio optimization through the mean field approach
- Nonlinear Filtering Theory for McKean--Vlasov Type Stochastic Differential Equations
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Mean Field Games for Large-Population Multiagent Systems with Markov Jump Parameters
- Quadratic Risk Minimization in a Regime-Switching Model with Portfolio Constraints
- A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type
- A General Stochastic Maximum Principle for Optimal Control Problems
- Asymptotic Properties of a Mean-Field Model with a Continuous-State-Dependent Switching Process
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Linear-Quadratic-Gaussian Mixed Games with Continuum-Parametrized Minor Players
- Lower bound for the perimeter density at singular points of a minimizing cluster in ℝN
- Social Optima in Mean Field LQG Control: Centralized and Decentralized Strategies
- On mean field games with common noise and McKean-Vlasov SPDEs
- Stochastic Differential Equations with Markovian Switching
- Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
This page was built for publication: A general stochastic maximum principle for mean-field controls with regime switching
