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Mean-field FBSDE and optimal control.

Authors :
Agram, Nacira
Choutri, Salah Eddine
Source :
Stochastic Analysis & Applications. 2021, Vol. 39 Issue 2, p235-251. 17p.
Publication Year :
2021

Abstract

We study optimal control for mean-field forward–backward stochastic differential equations with payoff functionals of mean-field type. Sufficient and necessary optimality conditions in terms of a stochastic maximum principle are derived. As an illustration, we solve an optimal portfolio with mean-field risk minimization problem. [ABSTRACT FROM AUTHOR]

Subjects

Subjects :
*STOCHASTIC differential equations
*STOCHASTIC control theory
*FUNCTIONALS
*MEAN field theory
*STOCHASTIC difference equations

Details

Language :
English
ISSN :
07362994
Volume :
39
Issue :
2
Database :
Academic Search Index
Journal :
Stochastic Analysis & Applications
Publication Type :
Academic Journal
Accession number :
149381314
Full Text :
https://doi.org/10.1080/07362994.2020.1794893
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