Maximum principle for near-optimality of mean-field FBSDEs

DOI10.1155/2020/8572959zbMATH Open1459.49023OpenAlexW3034409441MaRDI QIDQ778688FDOQ778688

Authors: Ruijing Li, Chaozhu Hu 

Publication date: 3 July 2020

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

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

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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)

• Maximum principle for forward–backward SDEs with a general cost functional
• A maximum principle for SDEs of mean-field type
• 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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