scholarly journals A mean-field maximum principle for optimal control of forward–backward stochastic differential equations with Poisson jump processes

2013 ◽  
Vol 1 (4) ◽  
pp. 300-315 ◽  
Author(s):  
Mokhtar Hafayed
Keyword(s):  
Optimal Control ◽  
Maximum Principle ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Mean Field ◽  
Backward Stochastic Differential Equations ◽  
Jump Processes ◽  
Poisson Jump

scholarly journals Fully Coupled Mean-Field Forward-Backward Stochastic Differential Equations and Stochastic Maximum Principle

2014 ◽  
Vol 2014 ◽  
pp. 1-15 ◽  
Author(s):  
Hui Min ◽  
Ying Peng ◽  
Yongli Qin
Keyword(s):  
Optimal Control ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Optimal Control Problems ◽  
Mean Field ◽  
Backward Stochastic Differential Equations ◽  
Maximum Principles ◽  
Control Problems ◽  
Linear Quadratic Optimal Control ◽  
Fully Coupled

We discuss a new type of fully coupled forward-backward stochastic differential equations (FBSDEs) whose coefficients depend on the states of the solution processes as well as their expected values, and we call them fully coupled mean-field forward-backward stochastic differential equations (mean-field FBSDEs). We first prove the existence and the uniqueness theorem of such mean-field FBSDEs under some certain monotonicity conditions and show the continuity property of the solutions with respect to the parameters. Then we discuss the stochastic optimal control problems of mean-field FBSDEs. The stochastic maximum principles are derived and the related mean-field linear quadratic optimal control problems are also discussed.

A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes

2019 ◽  
Vol 27 (1) ◽  
pp. 9-25 ◽  
Author(s):  
Dahbia Hafayed ◽  
Adel Chala
Keyword(s):  
Differential Equation ◽  
Optimal Control ◽  
Maximum Principle ◽  
Differential Equations ◽  
Stochastic Differential Equation ◽  
Stochastic Differential Equations ◽  
Admissible Control ◽  
Mean Field ◽  
Sufficient Optimality Condition ◽  
Doubly Stochastic

Abstract In this paper, we deal with an optimal control, where the system is driven by a mean-field forward-backward doubly stochastic differential equation with jumps diffusion. We assume that the set of admissible control is convex, and we establish a necessary as well as a sufficient optimality condition for such system.

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