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A Global Stochastic Maximum Principle for Mean-Field Forward-Backward Stochastic Control Systems with Quadratic Generators

Authors :
Buckdahn, Rainer
Li, Juan
Li, Yanwei
Wang, Yi
Publication Year :
2024

Abstract

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.<br />Comment: 37pages

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2404.06826
Document Type :
Working Paper