A maximum principle for fully coupled stochastic control systems of mean-field type

DOI10.1016/j.jmaa.2014.02.008zbMath1326.49040OpenAlexW2016157011MaRDI QIDQ2338901

Ruijing Li, Bin Liu

Publication date: 27 March 2015

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2014.02.008

zbMATH Keywords

maximum principleoptimal control problemadjoint equationEkeland's variational principleforward-backward stochastic differential equationslinear-quadratic stochastic control problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)

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