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.
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页数：25
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