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Hafayed, Dahbia; Chala, Adel

A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes. (English) Zbl 1414.93202

Random Oper. Stoch. Equ. 27, No. 1, 9-25 (2019).
Summary: 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.

Cited in 1 Document

MSC:

93E20 Optimal stochastic control
93C15 Control/observation systems governed by ordinary differential equations
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60J75 Jump processes (MSC2010)

Keywords:

mean-field forward-backward doubly stochastic differential equation with jumps processes; stochastic optimal control; adjoint equation; variational inequality
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References:

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