A Global Optimality Principle for Fully Coupled Mean-field Control Systems

Abstract

This paper concerns a global optimality principle for fully coupled mean-field control systems. Both the first-order and the second-order variational equations are fully coupled mean-field linear FBSDEs. A new linear relation is introduced, with which we successfully decouple the fully coupled first-order variational equations. We give a new second-order expansion of Y^ε that can work well in mean-field framework. Based on this result, the stochastic maximum principle is proved. The comparison with the stochastic maximum principle for controlled mean-field stochastic differential equations is supplied.