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Maximum Principle for Mean-Field FBSDEs with Mixed Initial-Terminal Conditions

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  • Ruijing Li
  • Binchang Wang

Abstract

The present paper concerns with optimal control problems allowing for time inconsistent utility functions of mean-field FBSDEs with mixed initial-terminal conditions. Moreover, the control variable enters the diffusion coefficient, and the control domain is with nonconvexity. Via extended Ekeland’s variational principle as well as the reduction method, a general stochastic maximum principle is established in the framework of mean-field theory. Finally, a linear-quadratic example is worked out to illustrate the application of the results.

Suggested Citation

  • Ruijing Li & Binchang Wang, 2022. "Maximum Principle for Mean-Field FBSDEs with Mixed Initial-Terminal Conditions," Mathematical Problems in Engineering, Hindawi, vol. 2022, pages 1-16, May.
    • Handle: RePEc:hin:jnlmpe:6019460
    DOI: 10.1155/2022/6019460
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