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arXiv · 1704.08002

A second-order stochastic maximum principle for generalized mean-field control problem

Hancheng Guo·Jie Xiong
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Abstract

In this paper, we study the generalized mean-field stochastic control problem when the usual stochastic maximum principle (SMP) is not applicable due to the singularity of the Hamiltonian function. In this case, we derive a second order SMP. We introduce the adjoint process by the generalized mean-field backward stochastic differential equation. The keys in the proofs are the expansion of the cost functional in terms of a perturbation parameter, and the use of the range theorem for vector-valued measures.

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Hancheng Guo, Jie Xiong. 2017-04-26. A second-order stochastic maximum principle for generalized mean-field control problem. https://arxiv.org/abs/1704.08002

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