Mean-field FBSDE and optimal control

Published 12 May 2019 in math.OC | (1905.04793v1)

Abstract: We study optimal control for mean-field forward backward stochastic differential equations with payoff functionals of mean-field type. Sufficient and necessary optimality conditions in terms of a stochastic maximum principle are derived. As an illustration, we solve an optimal portfolio with mean-field risk minimization problem.

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