Maximum Principle for Near-Optimality of Mean-Field FBSDEs

Ruijing Li and Chaozhu Hu

Mathematical Problems in Engineering, 2020, vol. 2020, 1-16

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.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:8572959

DOI: 10.1155/2020/8572959

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