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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…