Maximum principle for delayed stochastic mean-field control problem with state constraint

被引：4

作者：

Chen, Li ^{[1
]}

Wang, Jiandong ^{[1
]}

机构：

[1] China Univ Min & Technol, Sch Sci, Beijing, Peoples R China

来源：

ADVANCES IN DIFFERENCE EQUATIONS | 2019年 / 2019卷 / 01期

基金：

中国国家自然科学基金;

关键词：

Mean-field; Delay system; Ekeland's variation principle; Stochastic maximum principle; State constraint; DIFFERENTIAL-EQUATIONS;

D O I：

10.1186/s13662-019-2283-1

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we consider the optimal control problem for the mean-field stochastic differential equations with delay and state constraint. By virtue of the classical Ekeland's variational principle, the duality method and a new type of mean-field anticipated backward stochastic differential equation, we obtain the maximum principle of the optimal control for this problem. Our result can be applied to a harvest model from a mean-field system with delay.

引用

页数：25

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