Maximum principle for delayed stochastic mean-field control problem with state constraint
Abstract 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 differenti...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
SpringerOpen
2019-08-01
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Series: | Advances in Difference Equations |
Subjects: | |
Online Access: | http://link.springer.com/article/10.1186/s13662-019-2283-1 |
Summary: | Abstract 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. |
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ISSN: | 1687-1847 |