A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type

DOI10.1186/s13662-020-02640-xzbMath1482.60081OpenAlexW3030740771MaRDI QIDQ2078134

Teng Song, Bin Liu

Publication date: 25 February 2022

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-020-02640-x

zbMATH Keywords

stochastic maximum principlemean-field theorybackward stochastic difference equationsadjoint difference equationforward-backward stochastic difference equations

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45) Mean field games (aspects of game theory) (91A16)

Related Items (4)

Maximum principle for discrete-time stochastic control problem of mean-field type ⋮ A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach ⋮ A maximum principle for discrete-time stochastic optimal control problemE20 with delay ⋮ LQ control of forward and backward stochastic difference system

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