A General Stochastic Maximum Principle for Mean-Field Controls with Regime Switching

被引：0
作者：
Son L. Nguyen
George Yin
Dung T. Nguyen
机构：
[1] University of Puerto Rico,Department of Mathematics
[2] University of Connecticut,Department of Mathematics
[3] Ho Chi Minh City University of Technology - Vietnam National University,Department of Applied Mathematics, Faculty of Applied Science
来源：
Applied Mathematics & Optimization | 2021年 / 84卷
关键词：
Switching diffusion; Mean-field interaction; Maximum principle; Necessary condition; Sufficient condition; 60J25; 60J27; 60J60; 93E20;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Focusing on regime-switching diffusions with mean-fields interactions, this paper is devoted to obtaining a general maximum principle. A main feature is that conditional mean-field is used in the controlled dynamic systems and the optimization process. Analysis of variational and adjoint equations using forward and backward stochastic differential equations with regime-switching and conditional mean-field is carried out. Necessary conditions for optimality are obtained without assuming the convexity of the control space. An example on conditional mean-variance portfolio selection with regime switching is given to illustrate the sufficient conditions for optimality.
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页码：3255 / 3294
页数：39
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