A Mean-Field Optimal Control for Fully Coupled Forward-Backward Stochastic Control Systems with Lévy Processes

• 作者: HUANG Zhen WANG Ying WANG Xiangrong
• 来源期刊: 系统科学与复杂性学报（英文版）
• 年，卷（期）: 2022,（1）
• 页码范围: 205-220
• 页数: 16页
• 语种: 英文
• DOI: 10.1007/s11424-021-0077-5

摘要

This paper is concerned with a class of mean-field type stochastic optimal control systems,which are governed by fully coupled mean-field forward-backward stochastic differential equations with Teugels martingales associated to Lévy processes.In these systems,the coefficients contain not only the state processes but also their marginal distribution,and the cost function is of mean-field type as well.The necessary and sufficient conditions for such optimal problems are obtained.Furthermore,the applications to the linear quadratic stochastic optimization control problem are investigated.