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A Mean-Field Stochastic Maximum Principle for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps via Malliavin Calculus

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Document pages: 17 pages

Abstract: This paper considers a mean-field type stochastic control problem where the dynamics is governed by a forward and backward stochastic differential equation (SDE) driven by Lévy processes and the information available to the controller is possibly less than the overall information. All the system coefficients and the objective performance functional are allowed to be random, possibly non-Markovian. Malliavin calculus is employed to derive a maximum principle for the optimal control of such a system where the adjoint process is explicitly expressed.

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