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arXiv · 1412.5291

Optimal control of forward-backward mean-field stochastic delayed systems

Nacira Agram·Elin Engen Rose
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Abstract

We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient maximum principles under partial information are given. The results are applied to solve a recursive utility optimal problem

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Nacira Agram, Elin Engen Rose. 2014-12-17. Optimal control of forward-backward mean-field stochastic delayed systems. https://arxiv.org/abs/1412.5291

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