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Maximum Principle for Near-Optimality of Mean-Field FBSDEs

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  • Ruijing Li
  • Chaozhu Hu

Abstract

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.

Suggested Citation

  • Ruijing Li & Chaozhu Hu, 2020. "Maximum Principle for Near-Optimality of Mean-Field FBSDEs," Mathematical Problems in Engineering, Hindawi, vol. 2020, pages 1-16, June.
    • Handle: RePEc:hin:jnlmpe:8572959
    DOI: 10.1155/2020/8572959
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