Optimal control of forward-backward mean-field stochastic delayed systems

TL;DR

This paper develops optimal control methods for forward-backward mean-field stochastic systems with delay, providing maximum principles under partial information and applying these to a recursive utility optimization problem.

Contribution

It introduces new maximum principles for delayed mean-field stochastic control systems under partial information and demonstrates their application to utility optimization.

Findings

Derived necessary and sufficient maximum principles.

Applied principles to recursive utility optimization.

Extended control theory to delayed mean-field systems.

Abstract

We study methods for solving stochastic control problems of systems of forward-backward mean-field equations with delay, in finite or infinite horizon. Necessary and sufficient maximum principles under partial information are given. The results are applied to solve a recursive utility optimal problem