A maximum principle for fully coupled controlled forward–backward stochastic difference systems of mean-field type
Abstract In this paper, we consider the optimal control problem for fully coupled forward–backward stochastic difference equations of mean-field type under weak convexity assumption. By virtue of employing a suitable product rule and formulating a mean-field backward stochastic difference equation,...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2020-04-01
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| Series: | Advances in Difference Equations |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s13662-020-02640-x |