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Abstract
We study optimal control for mean-field forward–backward stochastic differential equations with payoff functionals of mean-field type. Sufficient and necessary optimality conditions in terms of a stochastic maximum principle are derived. As an illustration, we solve an optimal portfolio with mean-field risk minimization problem.
Additional information
Funding
This research was carried out with support of the Norwegian Research Council, within the research project Challenges in Stochastic Control, Information and Applications (STOCONINF), project number 250768/F20; and U.S. Air Force Office of Scientific Research under grant number FA9550-17-1-0259.