Abstract
AbstractThis article studies the problem of optimal control with state constraints for mean‐field type stochastic systems, which is governed by a fully coupled forward‐backward stochastic differential equation with Teugels martingales. In this system, the coefficients contain not only the state processes but also its expectation value, and the cost function is of mean‐field type as well. We use an equivalent backward formulation to deal with the terminal state constraint, and then we obtain a stochastic maximum principle by Ekeland's variational principle. In addition, we discuss a stochastic linear‐quadratic control problem with state constraints.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
