Optimal control and zero-sum games for Markov chains of mean-field type
classification
🧮 math.OC
cs.GTmath.PR
keywords
markovmean-fieldtypechainscontrolexistenceoptimalzero-sum
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We establish existence of Markov chains of mean-field type with unbounded jump intensities by means of a fixed point argument using the Total Variation distance. We further show existence of nearly-optimal controls and, using a Markov chain backward SDE approach, we suggest conditions for existence of an optimal control and a saddle-point for respectively a control problem and a zero-sum differential game associated with payoff functionals of mean-field type, under dynamics driven by such Markov chains of mean-field type.
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