A Global Stochastic Maximum Principle for Mean-Field Forward-Backward Stochastic Control Systems with Quadratic Generators
arxiv(2024)
摘要
Our paper is devoted to the study of Peng's stochastic maximum principle
(SMP) for a stochastic control problem composed of a controlled forward
stochastic differential equation (SDE) as dynamics and a controlled backward
SDE which defines the cost functional. Our studies combine the difficulties
which come, on one hand, from the fact that the coefficients of both the SDE
and the backward SDE are of mean-field type (i.e., they do not only depend on
the control process and the solution processes but also on their law), and on
the other hand, from the fact that the coefficient of the BSDE is of quadratic
growth in Z. Our SMP is novel, it extends in a by far non trivial way
existing results on SMP.
更多查看译文
AI 理解论文
溯源树
样例
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要