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University of Cambridge > Talks.cam > Isaac Newton Institute Seminar Series > Discrete time mean-field stochastic optimal control problems

## Discrete time mean-field stochastic optimal control problemsAdd to your list(s) Download to your calendar using vCal - Arzu Ahmadova (Eastern Mediterranean University)
- Thursday 21 April 2022, 09:00-09:30
- Seminar Room 1, Newton Institute.
If you have a question about this talk, please contact nobody. FD2W03 - Optimal control and fractional dynamics In this work, 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 a production and consumption choice optimization problem. This talk is part of the Isaac Newton Institute Seminar Series series. ## This talk is included in these lists:- All CMS events
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