2022•arXiv (Cornell University)Open access

Maximum principle for discrete time mean-field stochastic optimal control problems

Arzu Ahmadova, Nazım I. Mahmudov

Open full text 0 citations

Abstract

In this paper, we study the optimal control of a discrete-time stochastic differential equation (SDE) of mean-field type, where the coefficients can depend on both a function of the law and the state of the process. We establish a new version of the maximum principle for discrete-time stochastic optimal control problems. Moreover, the cost functional is also of the mean-field type. This maximum principle differs from the classical principle since we introduce new discrete-time backward (matrix) stochastic equations. Based on the discrete-time backward stochastic equations where the adjoint equations turn out to be discrete backward SDEs with mean field, we obtain necessary first-order and sufficient optimality conditions for the stochastic discrete optimal control problem. To verify, we apply the result to production and consumption choice optimization problem.

Open-access reader

About this research paper

What this paper is about

In this paper, we study the optimal control of a discrete-time stochastic differential equation (SDE) of mean-field type, where the coefficients can depend on both a function of the law and the state of the process. We establish a new version of the maximum principle for discrete-time stochastic optimal control problems. Moreover, the cost functional is also of the mean-field type. This maximum principle differs from the classical principle since we introduce new discrete-time backward (matrix) stochastic equations. Based on the discrete-time backward stochastic equations where the adjoint equations turn out to be discrete backward SDEs with mean field, we obtain necessary first-order and sufficient optimality conditions for the stochastic discrete optimal control problem. To verify, we apply the result to production and consumption choice optimization problem.

Why it matters

A significance statement is not available in the OpenAlex record.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

In this paper, we study the optimal control of a discrete-time stochastic differential equation (SDE) of mean-field type, where the coefficients can depend on both a function of the law and the state of the process. We establish a new version of the maximum principle for discrete-time stochastic optimal control problems. Moreover, the cost functional is also of the mean-field type. This maximum principle differs from the classical principle since we introduce new discrete-time backward (matrix) stochastic equations. Based on the discrete-time backward stochastic equations where the adjoint equations turn out to be discrete backward SDEs with mean field, we obtain necessary first-order and sufficient optimality conditions for the stochastic discrete optimal control problem. To verify, we apply the result to production and consumption choice optimization problem.

Key concepts: Discrete time and continuous time, Discrete-time stochastic process, Mathematics, Maximum principle, Optimal control, Stochastic control, Stochastic differential equation, Continuous-time stochastic process

Related papers

Back to paper searchBrowse research topicsOriginal source
Maximum principle for discrete time mean-field stochastic optimal control problems — Research Paper | ScholarLens