On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application

DOI10.3934/EECT.2020035MaRDI QIDQ827656zbMATH OpenOpenAlexFDO

Authors Adel Chala, Dahbia Hafayed

Publication date 13 January 2021

Published in Evolution Equations and Control Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/eect.2020035

zbMATH Keywords

mean-varianceoptimal controlstochastic maximum principlevariational principlelogarithmic transformationrisk-sensitivefully coupled forward-backward stochastic differential equation of mean-field type

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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• Stochastic maximum principle in the mean-field controls
• Sufficient optimality condition for a risk-sensitive control problem for backward stochastic differential equations and an application

Cited in

(9)

• A risk-sensitive stochastic maximum principle for fully coupled forward-backward stochastic differential equations with applications
• Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
• Pontryagin's risk-sensitive stochastic maximum principle for backward stochastic differential equations with application
• Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations
• Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice
• Maximum principle for partially observed risk-sensitive optimal control problem of McKean-Vlasov FBSDEs involving impulse controls
• Maximum principle for stochastic optimal control problem of forward-backward stochastic difference systems
• Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems
• The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations

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