期刊
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
卷 279, 期 -, 页码 13-30出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.cam.2014.10.011
关键词
Mean-field; Stochastic delay differential equation; Advanced backward stochastic differential equation; Optimal control; Stochastic maximum principle
资金
- National Natural Science Foundation of China [11101140, 11301177]
- China Postdoctoral Science Foundation [2011M500721, 2012T50391]
- Natural Science Foundation of Zhejiang Province [Y6110775, Y6110789]
This paper is concerned with an optimal control problem under mean-field jump-diffusion systems with delay. Firstly, some existence and uniqueness results are proved for a jump-diffusion mean-field stochastic delay differential equation and a jump-diffusion mean-field advanced backward stochastic differential equation. Then necessary and sufficient maximum principles for control systems of mean-field type and with delay are established under certain conditions. A mean-field, delayed, linear-quadratic control problem is finally discussed using the obtained maximum principles. (C) 2014 Elsevier B.V. All rights reserved.
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