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arxiv: 1606.04244 · v4 · pith:77O2FI2Dnew · submitted 2016-06-14 · 🧮 math.OC · cs.GT· math.PR

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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