Optimal control of forward-backward mean-field stochastic delayed systems
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🧮 math.OC
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controlforward-backwardmean-fieldoptimalstochasticsystemsapplieddelay
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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
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