Maximum principle for near-optimality of mean-field FBSDEs

DOI10.1155/2020/8572959MaRDI QIDQ778688zbMATH OpenOpenAlexFDO

Authors Ruijing Li, Chaozhu Hu

Publication date 3 July 2020

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2020/8572959

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20) Mean field games and control (49N80)

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Cited in

(7)

• A maximum principle for SDEs of mean-field type
• Maximum principle for forward–backward SDEs with a general cost functional
• Mean-field FBSDE and optimal control
• A maximum principle for fully coupled stochastic control systems of mean-field type
• Near-optimality conditions in stochastic control of linear fully coupled FBSDEs
• Necessary and sufficient conditions for near-optimality in stochastic control of FBSDEs
• Necessary condition for near optimal control of linear forward-backward stochastic differential equations

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