Maximum Principle for Near-Optimality of Mean-Field FBSDEs. (8th June 2020)

• Record Type: Journal Article
• Authors: Li, Ruijing; Hu, Chaozhu
• Other Names: Guo Rongwei Guest Editor.
• Is Part Of: Mathematical problems in engineering. Volume 2020(2020)
• Publication Date: 2020-06-08
• Subjects: Engineering mathematics -- Periodicals; 510.2462
• DOI: 10.1155/2020/8572959
• Languages: English
• ISSNs: 1024-123X

Abstract

Abstract : The present paper concerns with a near-optimal control problem for systems governed by mean-field forward-backward stochastic differential equations (FBSDEs) with mixed initial-terminal conditions. Utilizing Ekeland's variational principle as well as the reduction method, the necessary and sufficient near-optimality conditions are established in the form of Pontryagin's type. The results are obtained under restriction on the convexity of the control domain. As an application, a linear-quadratic stochastic control problem is solved explicitly.