Global maximum principle for mean-field forward-backward stochastic systems with delay and application to finance
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Publication:6287002
arXiv1705.08084MaRDI QIDQ6287002FDOQ6287002
Publication date: 23 May 2017
Abstract: The purpose of this paper is to explore the necessary conditions for optimality of mean-field forward-backward delay control systems. A new estimate is proved, which is a powerfultool to deal with the optimal control problems of mean-field type with delay. Different from the classical situation, in our case the first-order adjoint system is an anticipated mean-field backward stochastic differential equation, and the second-order adjoint system is a system of matrix-valued process, not mean-field type.With the help of two adjoint systems, the second-order expansion of the variation of the state is proved, and therewith the Peng's stochastic maximum principle. As an illustrative example, we apply our result to the mean-field game in Finance. Although we just investigate the case of one pointwise delay for convenience, but our method is adequate for analysing the case of pointwise delay.
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)
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