{
  "id": "1608.05993",
  "version": "v1",
  "published": "2016-08-21T20:17:11.000Z",
  "updated": "2016-08-21T20:17:11.000Z",
  "title": "A Maximum Principle for Mean-Field SDEs with time change",
  "authors": [
    "Giulia Di Nunno",
    "Hannes Haferkorn"
  ],
  "categories": [
    "math.PR"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2016-08-21T20:17:11.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G60",
      "60H10",
      "93E20",
      "91G80"
    ],
    "keywords": [
      "time change",
      "maximum principle",
      "mean-field sdes",
      "general mean-field stochastic differential equation",
      "mean-field stochastic control problem"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}