A General Maximum Principle for Discrete Fractional Stochastic Control System of Mean-Field Type

Zheng Li, Fei Chen, Ning Li, Di Wu, Xiangyue Yu and Fabio Tramontana

Discrete Dynamics in Nature and Society, 2024, vol. 2024, 1-13

Abstract: In this paper, we investigate a general maximum principle for discrete fractional stochastic difference system of mean-field type. The admissible control domain is nonconvex. We give Malliavin calculus for discrete-time case to deal with the fractional terms. The maximum principle of general type is derived by classical variation and linear operator methods. In addition, a linear-quadratic problem is solved to illustrate the main result and we also figure out a numerical result in this case.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnddns:3386753

DOI: 10.1155/2024/3386753

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