Affiliation:
1. School of Statistics and Mathematics, Guangdong University of Finance and Economics, Guangzhou 510320, Guangdong, China
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.
Funder
National Natural Science Foundation of China
Subject
General Engineering,General Mathematics