A maximum principle for fully coupled stochastic control systems of mean-field type

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:415

Article

Li, Ruijing¹  Liu, Bin¹ 

[1] Huazhong Univ Sci & Technol, Sch Math & Stat, Wuhan 430074, Hubei, Peoples R China

关键词: Forward-backward stochastic differential equations;    Mean-field SDE;    Maximum principle;    Adjoint equation;    Ekeland's variational principle;   

DOI  :  10.1016/j.jmaa.2014.02.008

来源: Elsevier

【 摘 要 】

The present paper considers an optimal control problem for fully coupled forward-backward stochastic differential equations (FBSDEs) of mean-field type in the case of controlled diffusion coefficient. Moreover, the control domain is not assumed to be convex. By virtue of a reduction method, we establish the necessary optimality conditions of Pontryagin's type. As an application, a linear-quadratic stochastic control problem is studied. (C) 2014 Elsevier Inc. All rights reserved.

【 授权许可】

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