The maximum principle for partially observed optimal control problems of mean-field FBSDEs |
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Authors: | Ruijing Li Fengyun Fu |
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Affiliation: | 1. School of Statistics and Mathematics, Guangdong University of Finance and Economics
, Guangzhou, P. R. China li209981@sina.com.cn lrj2015@gdufe.edu.cn;3. School of Statistics and Mathematics, Guangdong University of Finance and Economics
, Guangzhou, P. R. China |
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Abstract: | This paper is concerned with a partially observed optimal control problem described by mean-field forward and backward stochastic differential equations. Moreover, the control variable enters the diffusion coefficient and the control domain is non-convex. Utilising Girsanov's theorem as well as extended Ekeland's variational principle, a maximum principle is established in the form of Pontryagin's type. As an application, a linear-quadratic control problem is studied in terms of the stochastic filtering. |
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Keywords: | Mean-field SDE Girsanov's theorem extended Ekeland's variational principle maximum principle stochastic filtering |
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