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Zhen Huang
Zhen Huang

Public Documents 1
The Maximum Principle with Terminal State Constraints for Optimal Control of Mean-Fie...
Zhen Huang
Ying Wang

Zhen Huang

and 2 more

March 27, 2023
This paper studies the problem of optimal control with state constraints for mean-field type stochastic systems, which is governed by fully coupled forward-backward stochastic differential equations(FBSDE) with Teugels martingales. In this system, the coefficients contain not only the state processes but also its marginal distribution, and the cost function is of mean-field type as well. We use an equivalent backward formulation to deal with the terminal state constraint, and then we obtain a stochastic maximum principle by Ekeland’s variational principle. In addition, we discuss a stochastic LQ control problem with state constraints.

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