Optimal control of forward-backward mean-field stochastic delayed systems
Optimization and Control
2016-10-31 v1
Abstract
We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient maximum principles under partial information are given. The results are applied to solve a recursive utility optimal problem
Cite
@article{arxiv.1412.5291,
title = {Optimal control of forward-backward mean-field stochastic delayed systems},
author = {Nacira Agram and Elin Engen Rose},
journal= {arXiv preprint arXiv:1412.5291},
year = {2016}
}