Maximum Principle for Mean-Field FBSDEs with Mixed Initial-Terminal Conditions

Ruijing Li and Binchang Wang

Mathematical Problems in Engineering, 2022, vol. 2022, 1-16

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.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:6019460

DOI: 10.1155/2022/6019460

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