A Maximum Principle for Mean-Field SDEs with Time Change
Journal article, Peer reviewed
MetadataShow full item record
Original versionApplied mathematics and optimization. 2017, 76 (1), 137-176. 10.1007/s00245-017-9426-0
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.
JournalApplied mathematics and optimization
Showing items related by title, author, creator and subject.
Cost overruns and the subsequent performance of developments on the Norwegian Continental Shelf : how have oil and gas field developments with large cost overruns in investments on the Norwegian continental shelf performed over time? Ingdal, Sølve; Hauan, Christian Eskeland (Master thesis, 2014)This report provides an analysis and evaluation of how oil and gas field developments on the Norwegian continental shelf perform over time, after occurring significant cost overruns in initial investments. The analyses are ...
Human and financial capital for microenterprise development : evidence from a field and lab experiment Berge, Lars Ivar Oppedal; Bjorvatn, Kjetil; Tungodden, Bertil (Discussion paper, Working paper, 2011-01)
Almås, Ingvild; Berge, Lars Ivar; Bjorvatn, Kjetil; Somville, Vincent; Tungodden, Bertil (DP SAM;19/2020, Working paper, 2020-09)An influential literature has shown that women are less willing to compete than men, and the gender gap in competition may contribute to explaining gender differences in educational choices and labor market outcomes. This ...