Linear-quadratic optimal control problem for partially observed forward-backward stochastic differential equations of mean-field type

Abstract

This paper is concerned with the linear-quadratic optimal control problem for partially observed forward-backward stochastic differential equations (FBSDEs) of mean-field type. Based on the classical spike variational method, backward separation approach as well as filtering technique, we first derive the necessary and sufficient conditions of the optimal control problem with the non-convex domain. Nextly, by means of the decoupling technique, we obtain two Riccati equations, which are uniquely solvable under certain conditions. Also, the optimal cost functional is represented by the solutions of the Riccati equations for the special case.