| Abstract: |
| We present a novel approach to the proof of Peng`s maximum principle for McKean-Vlasov stochastic differential equations (SDE). The main step is the introduction of a third adjoint equation, a conditional McKean-Vlasov backward SDE, to accommodate the dualization of quadratic terms containing two independent copies of the first-order variational process. This is an intrinsic extension of the maximum principle from Peng for standard SDE and gives a conceptually consistent proof. Our approach will be useful in further extensions to the common noise setting and the infinite dimensional setting. |
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