南方科技大学知识苑(SUSTech KC): A GENERAL STOCHASTIC MAXIMUM PRINCIPLE FOR A MARKOV REGIME SWITCHING JUMP-DIFFUSION MODEL OF MEAN-FIELD TYPE

题名	A GENERAL STOCHASTIC MAXIMUM PRINCIPLE FOR A MARKOV REGIME SWITCHING JUMP-DIFFUSION MODEL OF MEAN-FIELD TYPE
作者	Zhang, Xin 1; Sun, Zhongyang 2; Xiong, Jie3
通讯作者	Sun, Zhongyang
发表日期	2018
DOI	10.1137/17M112395X
发表期刊	SIAM JOURNAL ON CONTROL AND OPTIMIZATION 影响因子和分区
ISSN	0363-0129
EISSN	1095-7138
卷号	56 期号:4页码:2563-2592
摘要	In this paper, we develop a global form stochastic maximum principle for a Markov regime switching mean-field model driven by Brownian motions and Poisson jumps. The form of the maximum principle turns out to be quite different from the classical one in the sense that here the first order adjoint process is defined as a solution to a certain jump-diffusion mean-field backward stochastic differential equation (BSDE), but the second order adjoint equation is still a classical BSDE. As an application, we apply the main results to study a linear quadratic stochastic control problem of mean-field type.
关键词	stochastic maximum principle regime switching mean-field type model jump-diffusion mean-field BSDE linear quadratic control problem
相关链接	[来源记录]
收录类别	SCI ; EI
语种	英语
学校署名	其他
资助项目	Southern University of Science and Technology startup fund[28/Y01286120]
WOS研究方向	Automation & Control Systems ; Mathematics
WOS类目	Automation & Control Systems ; Mathematics, Applied
WOS记录号	WOS:000443291700005
出版者	SIAM PUBLICATIONS
EI入藏号	20183905847666
EI主题词	Brownian movement ; Diffusion ; Linear control systems ; Maximum principle ; Mean field theory ; Stochastic control systems ; Stochastic models
EI分类号	Control Systems:731.1 ; Colloid Chemistry:801.3 ; Probability Theory:922.1 ; Mathematical Statistics:922.2
ESI学科分类	ENGINEERING
来源库	Web of Science
引用统计	被引频次[WOS]：30
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/28235
专题	理学院_数学系工学院_材料科学与工程系
作者单位	1.Southeast Univ, Sch Math, Nanjing 211189, Jiangsu, Peoples R China 2.Qufu Normal Univ, Sch Stat, Qufu 273165, Shandong, Peoples R China 3.Southern Univ Sci & Technol, Dept Math, Shenzhen 518055, Peoples R China
推荐引用方式 GB/T 7714	Zhang, Xin,Sun, Zhongyang,Xiong, Jie. A GENERAL STOCHASTIC MAXIMUM PRINCIPLE FOR A MARKOV REGIME SWITCHING JUMP-DIFFUSION MODEL OF MEAN-FIELD TYPE[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION,2018,56(4):2563-2592.
APA	Zhang, Xin,Sun, Zhongyang,&Xiong, Jie.(2018).A GENERAL STOCHASTIC MAXIMUM PRINCIPLE FOR A MARKOV REGIME SWITCHING JUMP-DIFFUSION MODEL OF MEAN-FIELD TYPE.SIAM JOURNAL ON CONTROL AND OPTIMIZATION,56(4),2563-2592.
MLA	Zhang, Xin,et al."A GENERAL STOCHASTIC MAXIMUM PRINCIPLE FOR A MARKOV REGIME SWITCHING JUMP-DIFFUSION MODEL OF MEAN-FIELD TYPE".SIAM JOURNAL ON CONTROL AND OPTIMIZATION 56.4(2018):2563-2592.