A Maximum Principle for Mean-Field SDEs with Time Change
Journal article, Peer reviewed
MetadataVis full innførsel
OriginalversjonApplied 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.
TidsskriftApplied mathematics and optimization
Viser innførsler beslektet ved tittel, forfatter og emneord.
Jonsbråten, Tore Wiig (Doctoral thesis, 1998)
Social capital as a multilevel phenomenon: a cross-level and mixed-determinant network study from the emerging micro-power field Aarstad, Jarle (Doctoral thesis, 2004)
Jørgensen, Mari Berg; Tønsberg, Marianne Norman (Master thesis, 2011)The aim of our thesis is to examine an innovative way to educate people in developing countries about business training. This paper analyses whether the edutainment show Ruka Juu, broadcasted in Tanzania in the spring ...