Maximum Principle for Near-Optimality of Mean-Field FBSDEs

Mathematical Problems in Engineering. 2020;2020 DOI 10.1155/2020/8572959

 

Journal Homepage

Journal Title: Mathematical Problems in Engineering

ISSN: 1024-123X (Print); 1563-5147 (Online)

Publisher: Hindawi Limited

LCC Subject Category: Technology: Engineering (General). Civil engineering (General) | Science: Mathematics

Country of publisher: United Kingdom

Language of fulltext: English

Full-text formats available: PDF, HTML, ePUB, XML

 

AUTHORS


Ruijing Li (School of Statistics and Mathematics, Guangdong University of Finance and Economics, Guangzhou 510320, Guangdong, China)

Chaozhu Hu (School of Science, Hubei University of Technology, Wuhan 430068, Hubei, China)

EDITORIAL INFORMATION

Blind peer review

Editorial Board

Instructions for authors

Time From Submission to Publication: 26 weeks

 

Abstract | Full Text

The present paper concerns with a near-optimal control problem for systems governed by mean-field forward-backward stochastic differential equations (FBSDEs) with mixed initial-terminal conditions. Utilizing Ekeland’s variational principle as well as the reduction method, the necessary and sufficient near-optimality conditions are established in the form of Pontryagin’s type. The results are obtained under restriction on the convexity of the control domain. As an application, a linear-quadratic stochastic control problem is solved explicitly.