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math.PR2018
A Stochastic Maximum Principle for Markov chains of mean-field type
Salah Eddine Choutri, Hamidou Tembine
We derive sufficient and necessary optimality conditions in terms of a stochastic maximum principle (SMP) for controls associated with cost functionals of mean-field type, under dy…
math.PR2018
Mean-field risk sensitive control and zero-sum games for Markov chains
Salah Eddine Choutri, Boualem Djehiche
We establish existence of controlled Markov chain of mean-field type with unbounded jump intensities by means of a fixed point argument using the Wasserstein distance. Using a Mark…
math.PR2017
On relaxed stochastic optimal control for stochastic differential equations driven by G-Brownian motion
Amel Redjil, Salah Eddine Choutri
In the G-framework, we establish existence of an optimal stochastic relaxed control for stochastic differential equations driven by a G-Brownian motion.