On mean-field control problems for backward doubly stochastic systems
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Publication:6151946
DOI10.1051/COCV/2024012arXiv2205.03013OpenAlexW4391579264WikidataQ128436457 ScholiaQ128436457MaRDI QIDQ6151946FDOQ6151946
Authors:
Publication date: 11 March 2024
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Abstract: This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the joint distribution of the state process and the control process. We obtain the stochastic maximum principle which serves as a necessary condition for an optimal control, and we also prove its sufficiency under proper conditions. As a byproduct, we prove the well-posedness for a type of mean-field fully coupled forward-backward doubly stochastic differential equation arising naturally from the control problem, which is of interest in its own right. Some examples are provided to illustrate the applications of our results to control problems in the types of scalar interaction and first order interaction.
Full work available at URL: https://arxiv.org/abs/2205.03013
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