Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem

DOI10.1016/J.SYSCONLE.2023.105550MaRDI QIDQ6174064zbMATH OpenFDO

Authors Yanbo Chen, Tianyang Nie, Shujun Wang

Publication date 13 July 2023

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SYSCONLE.2023.105550

zbMATH Keywords

controlled McKean-Vlasov SDEforward-backward stochastic differential equationmaximum principlemean-fieldStackelberg differential game

Mathematics Subject Classification ID

Differential games and control (49N70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Differential games (aspects of game theory) (91A23) Hierarchical games (including Stackelberg games) (91A65) Optimal stochastic control (93E20)

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Cited in

(5)

• Terminal perturbation for McKean-Vlasov BSDE with regime switching and application to finance
• Well-posedness of fully coupled McKean-Vlasov FBSDE and application to Stackelberg games
• Maximum principle for optimal control problems of extended mean-field forward-backward regime-switching systems with general singular controls
• Optimal strategy of mean-field FBSDE games with delay and noisy memory based on Malliavin calculus
• A progressive maximum principle of fully coupled mean-field system with jumps

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