Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem

DOI10.1016/j.sysconle.2023.105550MaRDI QIDQ6174064

Shujun Wang, Yanbo Chen, Tianyang Nie

Publication date: 13 July 2023

Published in: Systems \& Control Letters (Search for Journal in Brave)

zbMATH Keywords

maximum principleforward-backward stochastic differential equationmean-fieldStackelberg differential gamecontrolled McKean-Vlasov SDE

Mathematics Subject Classification ID

Hierarchical games (including Stackelberg games) (91A65) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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