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A Maximum Principle for Mean-Field SDEs with Time Change

Di Nunno, Giulia; Haferkorn, Hannes Hagen
Journal article, Peer reviewed
Accepted version
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URI
http://hdl.handle.net/11250/2466053
Date
2017
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  • Articles (FOR) [100]
  • Publikasjoner fra CRIStin (NHH) [243]
Original version
Applied mathematics and optimization. 2017, 76 (1), 137-176.   10.1007/s00245-017-9426-0
Abstract
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.
Journal
Applied mathematics and optimization

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