STOCHASTIC MAXIMUM PRINCIPLE FOR WEIGHTED MEAN-FIELD SYSTEM

被引：0

作者：

Tang, Yanyan ^{[2
,3
]}

Xiong, Jie ^{[1
,2
,3
]}

机构：

[1] Southern Univ Sci & Technol, Shenzhen Key Lab Safety & Secur Next Generat Ind I, Shenzhen 518055, Guangdong, Peoples R China

[2] Southern Univ Sci & Technol, Dept Math, Shenzhen 518055, Guangdong, Peoples R China

[3] Southern Univ Sci & Technol, SUSTech, Int Ctr Math, Shenzhen 518055, Guangdong, Peoples R China

来源：

DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES S | 2023年 / 16卷 / 05期

基金：

国家重点研发计划;

关键词：

McKean-Vlasov equation; stochastic maximum principle; DIFFERENTIAL-EQUATIONS; MODEL;

D O I：

10.3934/dcdss.2023011

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We study the optimal control problem for a weighted mean-field system. A new feature of the control problem is that the coefficients depend on the state process as well as its weighted measure and the control variable. By applying variational technique, we establish a stochastic maximum principle. Also, we establish a sufficient condition of optimality. As an application, we investigate the optimal premium policy of an insurance firm for asset-liability management problem.

引用

页码：1039 / 1053

页数：15

共 50 条

[31] ON STOCHASTIC MAXIMUM PRINCIPLE FOR RISK-SENSITIVE OF FULLY COUPLED FORWARD-BACKWARD STOCHASTIC CONTROL OF MEAN-FIELD TYPE WITH APPLICATION
Chala, Adel
Hafayed, Dahbia
EVOLUTION EQUATIONS AND CONTROL THEORY, 2020, 9 (03): : 817 - 843
[32] Maximum Principle for Mean-Field SDEs Under Model Uncertainty
He, Wei
Luo, Peng
Wang, Falei
APPLIED MATHEMATICS AND OPTIMIZATION, 2023, 87 (03)
[33] Maximum Principle for Mean-Field SDEs Under Model Uncertainty
Wei He
Peng Luo
Falei Wang
Applied Mathematics & Optimization, 2023, 87
[34] On pointwise second-order maximum principle for optimal stochastic controls of general mean-field type
Boukaf, Samira
Korichi, Fatiha
Hafayed, Mokhtar
Palanisamy, Muthukumar
ASIAN JOURNAL OF CONTROL, 2024, 26 (02) : 790 - 802
[35] A stochastic maximum principle for partially observed general mean-field control problems with only weak solution☆
Li, Juan
Liang, Hao
Mi, Chao
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2023, 165 : 397 - 439
[36] Maximum Principle for Partial Observed Zero-Sum Stochastic Differential Game of Mean-Field SDEs
Tang, Maoning
Meng, Qingxin
PROCEEDINGS OF THE 36TH CHINESE CONTROL CONFERENCE (CCC 2017), 2017, : 1868 - 1875
[37] A maximum principle for fully coupled controlled forward–backward stochastic difference systems of mean-field type
Teng Song
Bin Liu
Advances in Difference Equations, 2020
[38] A mean-field maximum principle for optimal control of forward–backward stochastic differential equations with Poisson jump processes
Hafayed M.
Hafayed, Mokhtar (hafayedmokhtar@yahoo.com), 2013, Springer Science and Business Media Deutschland GmbH (01) : 300 - 315
[39] Maximum principle for infinite horizon optimal control of mean-field backward stochastic systems with delay and noisy memory
Delavarkhalafi, Ali
Aghda, A. S. Fatemion
Tahmasebi, Mahdieh
INTERNATIONAL JOURNAL OF CONTROL, 2022, 95 (02) : 535 - 543
[40] The Stochastic Maximum Principle for a Jump-Diffusion Mean-Field Model Involving Impulse Controls and Applications in Finance
Cailing Li
Zaiming Liu
Jinbiao Wu
Xiang Huang
Journal of Systems Science and Complexity, 2020, 33 : 26 - 42

← 1 2 3 4 5 →