A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems
From MaRDI portal
Publication:5126412
DOI10.1051/cocv/2019055zbMath1460.60082OpenAlexW2971948584MaRDI QIDQ5126412
Son Luu Nguyen, George Yin, Dung Tien Nguyen
Publication date: 16 October 2020
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/cocv/2019055
Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45) Mean field games and control (49N80)
Related Items (10)
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 ⋮ Partial information maximum principle for optimal control problem with regime switching in the conditional mean-field model ⋮ Linear-quadratic delayed mean-field social optimization ⋮ 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 ⋮ Linear quadratic mean-field game with volatility uncertainty ⋮ Switching diffusions with mean-field interactions: limit results, maximum principle, and non-Markov systems ⋮ Controlled Markov chains with non-exponential discounting and distribution-dependent costs
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A probabilistic approach to mean field games with major and minor players
- Mean field games for stochastic growth with relative utility
- A 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
- The Vlasov dynamics and its fluctuations in the \(1/N\) limit of interacting classical particles
- Hybrid switching diffusions. Properties and applications
- A mean-field stochastic control problem with partial observations
- Mean field production output control with sticky prices: Nash and social solutions
- Stochastic maximum principle in the mean-field controls
- A Hilbertian approach for fluctuations on the McKean-Vlasov model
- On mean field systems with multi-classes
- On laws of large numbers for systems with mean-field interactions and Markovian switching
- 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
- Stochastic Recursive Algorithms for Networked Systems with Delay and Random Switching: Multiscale Formulations and Asymptotic Properties
- Nonlinear Filtering Theory for McKean--Vlasov Type Stochastic Differential Equations
- REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING
- Tracking a Markov-Modulated Stationary Degree Distribution of a Dynamic Random Graph
- Mean Field Games for Large-Population Multiagent Systems with Markov Jump Parameters
- 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
- On the McKean-Vlasov Limit for Interacting Diffusions
- On nearly optimal controls of hybrid LQG problems
- Regime Switching Stochastic Approximation Algorithms with Application to Adaptive Discrete Stochastic Optimization
- Large deviations from the mckean-vlasov limit for weakly interacting diffusions
- Linear-Quadratic-Gaussian Mixed Games with Continuum-Parametrized Minor Players
- Social Optima in Mean Field LQG Control: Centralized and Decentralized Strategies
- Stochastic Differential Equations with Markovian Switching
- A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
- Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
This page was built for publication: A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems
