Stochastic maximum principle for mean-field forward-backward stochastic control system with terminal state constraints

2015 ◽  
Vol 59 (4) ◽  
pp. 809-822 ◽  
Author(s):  
QingMeng Wei
Keyword(s):  
Control System ◽  
Maximum Principle ◽  
Stochastic Control ◽  
State Constraints ◽  
Mean Field ◽  
Terminal State ◽  
Stochastic Maximum Principle ◽  
Stochastic Control System

scholarly journals A Necessary Condition for Optimal Control of Forward-Backward Stochastic Control System with Lévy Process in Nonconvex Control Domain Case

2020 ◽  
Vol 2020 ◽  
pp. 1-11
Author(s):  
Hong Huang ◽  
Xiangrong Wang ◽  
Ying Li
Keyword(s):  
Optimal Control ◽  
Control System ◽  
Lévy Process ◽  
State Constraints ◽  
Terminal State ◽  
Levy Process ◽  
Necessary Condition ◽  
Variational Technique ◽  
The Maximum Principle ◽  
Stochastic Control System

This paper analyzes one kind of optimal control problem which is described by forward-backward stochastic differential equations with Lévy process (FBSDEL). We derive a necessary condition for the existence of the optimal control by means of spike variational technique, while the control domain is not necessarily convex. Simultaneously, we also get the maximum principle for this control system when there are some initial and terminal state constraints. Finally, a financial example is discussed to illustrate the application of our result.

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