dc.date.accessioned | 2017-11-15T12:47:50Z | |
dc.date.available | 2018-06-30T22:31:17Z | |
dc.date.created | 2017-10-08T13:35:05Z | |
dc.date.issued | 2017 | |
dc.identifier.citation | Di Nunno, Giulia Haferkorn, Hannes Hagen . A Maximum Principle for Mean-Field SDEs with Time Change. Applied mathematics and optimization. 2017, 76(1), 137-176 | |
dc.identifier.uri | http://hdl.handle.net/10852/59114 | |
dc.description.abstract | 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.
The final version of this research has been published in Applied Mathematics and Optimization. © 2017 Springer Verlag | en_US |
dc.language | EN | |
dc.publisher | Springer-Verlag New York | |
dc.title | A Maximum Principle for Mean-Field SDEs with Time Change | en_US |
dc.type | Journal article | en_US |
dc.creator.author | Di Nunno, Giulia | |
dc.creator.author | Haferkorn, Hannes Hagen | |
cristin.unitcode | 185,15,13,35 | |
cristin.unitname | Stokastisk analyse, finans, forsikring og risiko | |
cristin.ispublished | true | |
cristin.fulltext | postprint | |
cristin.qualitycode | 2 | |
dc.identifier.cristin | 1503124 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Applied mathematics and optimization&rft.volume=76&rft.spage=137&rft.date=2017 | |
dc.identifier.jtitle | Applied mathematics and optimization | |
dc.identifier.volume | 76 | |
dc.identifier.issue | 1 | |
dc.identifier.startpage | 137 | |
dc.identifier.endpage | 176 | |
dc.identifier.doi | http://dx.doi.org/10.1007/s00245-017-9426-0 | |
dc.identifier.urn | URN:NBN:no-61731 | |
dc.type.document | Tidsskriftartikkel | en_US |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 0095-4616 | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/59114/1/DH-mfMP.pdf | |
dc.type.version | AcceptedVersion | |