In this paper we establish in first the existence of strong optimal solutions of a control problem for dynamics driven by a linear forward-backward doubly stochastic differential equations of mean-field type (MF-FBDSDEs), with random coefficients and non linear functional cost. Moreover, we establish necessary as well as sufficient optimality conditions for this kind of control problem. In the second part of this paper, we establish necessary as well as sufficient optimality conditions for existence of both optimal relaxed control and optimal strict control for dynamics of nonlinear mean-field forward-backward doubly stochastic differential equations.

AbstractWe wish to study a class of optimal controls for problems governed by forward-backward doubly stochastic differential equations (FBDSDEs). Firstly, we prove existence of optimal relaxed controls, which are measure-valued processes for nonlinear FBDSDEs, by using some tightness properties and weak convergence techniques on the space of Skorokhod {\mathbb{D}} equipped with the S-topology of Jakubowski. Moreover, when the Roxin-type convexity condition is fulfilled, we prove that the optimal relaxed control is in fact strict. Secondly, we prove the existence of a strong optimal controls for a linear forward-backward doubly SDEs. Furthermore, we establish necessary as well as sufficient optimality conditions for a control problem of this kind of systems. This is the first theorem of existence of optimal controls that covers the forward-backward doubly systems.