Variational principle for stochastic singular control of mean-field Lévy-forward-backward system driven by orthogonal Teugels martingales with application

Abstract

We consider stochastic singular control for mean-field forward-backward stochastic differential equations driven by orthogonal Teugels martingales associated with some Lévy processes having moments of all orders and an independent Brownian motion. Under partial information necessary and sufficient conditions for optimality in the form of maximum principle for this mean-field system are established by means of convex variation methods and duality techniques. As an illustration this paper studies a partial information mean-variance portfolio selection problem driven by orthogonal Teugels martingales associated with gamma process as Lévy process of bounded variation. © 2020 Elsevier B.V. All rights reserved.