A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps

DOI10.1051/cocv/2020008zbMath1460.93109arXiv1801.03203OpenAlexW3006388183MaRDI QIDQ5854379

Qingxin Meng, Tao Hao

Publication date: 17 March 2021

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.03203

zbMATH Keywords

stochastic controlglobal maximum principlegeneral mean-field forward-backward stochastic differential equation with jumps

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Control/observation systems governed by ordinary differential equations (93C15)

Related Items (5)

Second‐order necessary optimality conditions for discrete‐time stochastic systems ⋮ The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon ⋮ On mean-field control problems for backward doubly stochastic systems ⋮ The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps ⋮ Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem

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