Afrika Matematika

, Volume 29, Issue 1–2, pp 149–174 | Cite as

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

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Abstract

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

Keywords

Optimal control Stochastic delay equation Mean-field Stochastic maximum principle Hamiltonian Advanced backward stochastic equation Partial information 

Mathematics Subject Classification

Primary 93EXX 93E20 60J75 34K50 Secondary 60H10 60H20 49J55 

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Copyright information

© African Mathematical Union and Springer-Verlag GmbH Deutschland 2017

Authors and Affiliations

  1. 1.Department of MathematicsUniversity of OsloOsloNorway
  2. 2.University of BiskraBiskraAlgeria

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