Abstract
This paper is concerned with an optimal control problem under mean-field jump-diffusion systems with delay. Firstly, some existence and uniqueness results are proved for a jump-diffusion mean-field stochastic delay differential equation and a jump-diffusion mean-field advanced backward stochastic differential equation. Then necessary and sufficient maximum principles for control systems of mean-field type and with delay are established under certain conditions. A mean-field, delayed, linear-quadratic control problem is finally discussed using the obtained maximum principles.
Original language | English |
---|---|
Pages (from-to) | 13-30 |
Number of pages | 18 |
Journal | Journal of Computational and Applied Mathematics |
Volume | 279 |
DOIs | |
Publication status | Published - 1 May 2015 |
Externally published | Yes |
Keywords
- Advanced backward stochastic differential equation
- Mean-field
- Optimal control
- Stochastic delay differential equation
- Stochastic maximum principle