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Title: A General Stochastic Maximum Principle for SDEs of Mean-field Type

Journal Article · · Applied Mathematics and Optimization
 [1];  [2]
  1. Universite de Bretagne Occidentale, Departement de Mathematiques (France)
  2. Royal Institute of Technology, Department of Mathematics (Sweden)

We study the optimal control for stochastic differential equations (SDEs) of mean-field type, in which the coefficients depend on the state of the solution process as well as of its expected value. Moreover, the cost functional is also of mean-field type. This makes the control problem time inconsistent in the sense that the Bellman optimality principle does not hold. For a general action space a Peng's-type stochastic maximum principle (Peng, S.: SIAM J. Control Optim. 2(4), 966-979, 1990) is derived, specifying the necessary conditions for optimality. This maximum principle differs from the classical one in the sense that here the first order adjoint equation turns out to be a linear mean-field backward SDE, while the second order adjoint equation remains the same as in Peng's stochastic maximum principle.

OSTI ID:
22043878
Journal Information:
Applied Mathematics and Optimization, Vol. 64, Issue 2; Other Information: Copyright (c) 2011 Springer Science+Business Media, LLC; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
Country of Publication:
United States
Language:
English

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