Maximum Principle for Mean-Field FBSDEs with Mixed Initial-Terminal Conditions. (10th May 2022)

• Record Type: Journal Article
• Authors: Li, Ruijing
• Other Names: Wang Binchang Academic Editor.
• Is Part Of: Mathematical problems in engineering. Volume 2022(2022)
• Publication Date: 2022-05-10
• Subjects: Engineering mathematics -- Periodicals; 510.2462
• DOI: 10.1155/2022/6019460
• Languages: English
• ISSNs: 1024-123X

Abstract

Abstract : The present paper concerns with optimal control problems allowing for time inconsistent utility functions of mean-field FBSDEs with mixed initial-terminal conditions. Moreover, the control variable enters the diffusion coefficient, and the control domain is with nonconvexity. 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.