A Stochastic Maximum Principle for Markov Chains of Mean-Field Type

Abstract

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 dynamics driven by a class of Markov chains of mean-field type which are pure jump processes obtained as solutions of a well-posed martingale problem. As an illustration, we apply the result to generic examples of control problems as well as some applications.

Keywords

• mean-field
• nonlinear Markov chain
• backward SDEs
• optimal control
• stochastic maximum principle