A Maximum Principle for Mean-Field SDEs with Time Change
Journal article, Peer reviewed
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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
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