Global maximum principle for mean-field forward-backward stochastic systems with delay and application to finance

Tao Hao; Qingxin Meng

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arXiv · 1705.08084

Global maximum principle for mean-field forward-backward stochastic systems with delay and application to finance

Tao Hao·Qingxin Meng

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Abstract

The purpose of this paper is to explore the necessary conditions for optimality of mean-field forward-backward delay control systems. A new estimate is proved, which is a powerfultool to deal with the optimal control problems of mean-field type with delay. Different from the classical situation, in our case the first-order adjoint system is an anticipated mean-field backward stochastic differential equation, and the second-order adjoint system is a system of matrix-valued process, not mean-field type.With the help of two adjoint systems, the second-order expansion of the variation of the state $Y$ is proved, and therewith the Peng's stochastic maximum principle. As an illustrative example, we apply our result to the mean-field game in Finance. Although we just investigate the case of one pointwise delay for convenience, but our method is adequate for analysing the case of pointwise delay.

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BibTeX RIS

Tao Hao, Qingxin Meng. 2017-05-23. Global maximum principle for mean-field forward-backward stochastic systems with delay and application to finance. https://arxiv.org/abs/1705.08084

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