Show simple item record

dc.contributor.authorDi Nunno, Giulia
dc.contributor.authorHaferkorn, Hannes Hagen
dc.date.accessioned2017-11-14T08:36:46Z
dc.date.available2017-11-14T08:36:46Z
dc.date.created2017-10-08T13:35:05Z
dc.date.issued2017
dc.identifier.citationApplied mathematics and optimization. 2017, 76 (1), 137-176.nb_NO
dc.identifier.issn0095-4616
dc.identifier.urihttp://hdl.handle.net/11250/2466053
dc.description.abstractTime 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.nb_NO
dc.language.isoengnb_NO
dc.subjecttime changenb_NO
dc.subjectmartingale random fieldsnb_NO
dc.subjectmean-field SDEnb_NO
dc.subjectmean-field BSDEsnb_NO
dc.subjectmean-field stochastic optimal controlnb_NO
dc.titleA Maximum Principle for Mean-Field SDEs with Time Changenb_NO
dc.typeJournal articlenb_NO
dc.typePeer reviewednb_NO
dc.description.versionacceptedVersionnb_NO
dc.source.pagenumber137-176nb_NO
dc.source.volume76nb_NO
dc.source.journalApplied mathematics and optimizationnb_NO
dc.source.issue1nb_NO
dc.identifier.doi10.1007/s00245-017-9426-0
dc.identifier.cristin1503124
cristin.unitcode191,10,0,0
cristin.unitnameInstitutt for foretaksøkonomi
cristin.ispublishedtrue
cristin.fulltextpostprint
cristin.qualitycode2


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record