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SUMMARY:Discrete time mean-field stochastic optimal control problems - Arz
 u Ahmadova (Eastern Mediterranean University)
DTSTART:20220421T080000Z
DTEND:20220421T083000Z
UID:TALK171572@talks.cam.ac.uk
DESCRIPTION:In this work\, we study the optimal control of a discrete-time
  stochastic differential equation (SDE) of mean-field type\, where the coe
 fficients can depend on both a function of the law and the state of the pr
 ocess. We establish a new version of the maximum principle for discrete-ti
 me stochastic optimal control problems. Moreover\, the cost functional is 
 also of the mean-field type. This maximum principle differs from the class
 ical principle since we introduce new discrete-time backward (matrix) stoc
 hastic equations. Based on the discrete-time backward stochastic equations
  where the adjoint equations turn out to be discrete backward SDEs with me
 an field\, we obtain necessary first-order and sufficient optimality condi
 tions for the stochastic discrete optimal control problem. To verify\, we 
 apply the result to a production and consumption choice optimization probl
 em.
LOCATION:Seminar Room 1\, Newton Institute
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