Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4638632 | Journal of Computational and Applied Mathematics | 2015 | 18 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Qingxin Meng, Yang Shen,