Abstract
In this work, a discrete-time mean-field type stochastic optimal control problem is studied. The goal is to derive the stochastic maximum principle with convex control domains. L-derivative is applied to handle the mean-field term and a technique of adjoint operator is used to overcome the difficulties of obtaining adjoint equations and duality relation. Then, the stochastic maximum principle for discrete-time mean-field type stochastic optimal control problem is established. Finally, as an illustration of our stochastic maximum principle, a discrete-time mean–variance portfolio selection problem is solved with the decoupling technique which is different from the continuous-time case.
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