Mean-field FBSDE and optimal control
Optimization and Control
2019-05-14 v1
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.
Cite
@article{arxiv.1905.04793,
title = {Mean-field FBSDE and optimal control},
author = {Nacira Agram and Salah Eddine Choutri},
journal= {arXiv preprint arXiv:1905.04793},
year = {2019}
}
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