A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps

Abstract: In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set does not need to be convex, the coefficients of jump terms are independent of control as well as the coefficients of mean-field backward stochastic differential equations depend on the joint law of $(X(t),Y(t))$. Two new adjoint equations are brought in as well as several new generic estimates of their solutions are investigated for analysing the higher terms, especially, those involving the expectation which come from the derivatives of the coefficients with respect to the measure. Utilizing these subtle estimates, the second-order expansion of the cost functional, which is the key point to analyse the necessary condition, is obtained, and whereafter the stochastic maximum principle.