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Mean-Field Backward Stochastic Evolution Equations in Hilbert Spaces and Optimal Control for BSPDEs

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  • Ruimin Xu
  • Tingting Wu

Abstract

We obtain the existence and uniqueness result of the mild solutions to mean-field backward stochastic evolution equations (BSEEs) in Hilbert spaces under a weaker condition than the Lipschitz one. As an intermediate step, the existence and uniqueness result for the mild solutions of mean-field BSEEs under Lipschitz condition is also established. And then a maximum principle for optimal control problems governed by backward stochastic partial differential equations (BSPDEs) of mean-field type is presented. In this control system, the control domain need not to be convex and the coefficients, both in the state equation and in the cost functional, depend on the law of the BSPDE as well as the state and the control. Finally, a linear-quadratic optimal control problem is given to explain our theoretical results.

Suggested Citation

  • Ruimin Xu & Tingting Wu, 2014. "Mean-Field Backward Stochastic Evolution Equations in Hilbert Spaces and Optimal Control for BSPDEs," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-18, July.
    • Handle: RePEc:hin:jnlmpe:718948
    DOI: 10.1155/2014/718948
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