Acta mathematica scientia,Series A ›› 2019, Vol. 39 ›› Issue (1): 143-155.

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A General Maximum Principle for Forward-Backward Stochastic Control Systems of Mean-Field Type

Ruijing Li()   

  1. School of Statistics and Mathematics, Guangdong University of Finance and Economics, Guangzhou 510320
  • Received:2017-12-05 Online:2019-02-26 Published:2019-03-12
  • Supported by:
    the NSFC(11626063)

Abstract:

The present paper concerns with optimal control problems allowing for time inconsistent utility functions for instance of mean-field stochastic systems. Moreover, the control variable enters the diffusion coefficient and the control domain is non-convex. Via extended Ekeland's variational principle as well as the reduction method, a general stochastic maximum principle is established in the framework of mean-field theory. Finally, a linear-quadratic example is worked out to illustrate the application of the results.

Key words: Mean-field SDE, Maximum principle, Adjoint equation, Extended Ekeland's variational principle

CLC Number: 

  • O110.64
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