Stochastic maximum principle for mean-field forward-backward stochastic control system with terminal state constraints

DOI10.1007/s11425-015-5068-3zbMath1338.93407OpenAlexW1632549917MaRDI QIDQ294516

Qingmeng Wei

Publication date: 16 June 2016

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-015-5068-3

zbMATH Keywords

maximum principlestate constraintsmean-field forward-backward stochastic differential equations

Mathematics Subject Classification ID

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

Related Items (2)

Stochastic maximum principle for recursive optimal control problems with varying terminal time ⋮ Maximum principle for a stochastic delayed system involving terminal state constraints

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