A Maximum Principle for Mean-Field SDEs with Time Change

被引：0
作者：
Giulia Di Nunno
Hannes Haferkorn
机构：
[1] University of Oslo,Department of Mathematics
[2] NHH,Department of Business and Management Science
来源：
Applied Mathematics & Optimization | 2017年 / 76卷
关键词：
Time change; Martingale random fields; Mean-field SDE; Mean-field BSDEs; Mean-field stochastic optimal control; 60G60; 60H10; 93E20; 91G80;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Time change is a powerful technique for generating noises and providing flexible models. In the framework of time changed Brownian and Poisson random measures we study the existence and uniqueness of a solution to a general mean-field stochastic differential equation. We consider a mean-field stochastic control problem for mean-field controlled dynamics and we present a necessary and a sufficient maximum principle. For this we study existence and uniqueness of solutions to mean-field backward stochastic differential equations in the context of time change. An example of a centralised control in an economy with specialised sectors is provided.
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页码：137 / 176
页数：39
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