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

[41] A GENERAL STOCHASTIC MAXIMUM PRINCIPLE FOR A MARKOV REGIME SWITCHING JUMP-DIFFUSION MODEL OF MEAN-FIELD TYPE
Zhang, Xin
Sun, Zhongyang
Xiong, Jie
[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2018, 56 (04) : 2563 - 2592
[42] A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps
Hao, Tao
Meng, Qingxin
[J]. ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS, 2020, 26
[43] The Stochastic Maximum Principle for a Jump-Diffusion Mean-Field Model Involving Impulse Controls and Applications in Finance
Li, Cailing
Liu, Zaiming
Wu, Jinbiao
Huang, Xiang
[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2020, 33 (01) : 26 - 42
[44] A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type
Song, Teng
Liu, Bin
[J]. ADVANCES IN DIFFERENCE EQUATIONS, 2020, 2020 (01)
[45] The Stochastic Maximum Principle for a Jump-Diffusion Mean-Field Model Involving Impulse Controls and Applications in Finance
LI Cailing
LIU Zaiming
WU Jinbiao
HUANG Xiang
[J]. Journal of Systems Science & Complexity, 2020, 33 (01) : 26 - 42
[46] Model uncertainty stochastic mean-field control
Agram, Nacira
Oksendal, Bernt
[J]. STOCHASTIC ANALYSIS AND APPLICATIONS, 2019, 37 (01) : 36 - 56
[47] Maximum principle for mean-field zero-sum stochastic differential game with partial information and its application to finance
Wu, Jinbiao
Liu, Zaiming
[J]. EUROPEAN JOURNAL OF CONTROL, 2017, 37 : 8 - 15
[48] Risk-sensitive maximum principle for stochastic optimal control of mean-field type Markov regime-switching jump-diffusion systems
Moon, Jun
[J]. INTERNATIONAL JOURNAL OF ROBUST AND NONLINEAR CONTROL, 2021, 31 (06) : 2141 - 2167
[49] A MEAN-FIELD STOCHASTIC CONTROL PROBLEM WITH PARTIAL OBSERVATIONS
Buckdahn, Rainer
Li, Juan
Ma, Jin
[J]. ANNALS OF APPLIED PROBABILITY, 2017, 27 (05) : 3201 - 3245
[50] EXTENDED MEAN FIELD CONTROL PROBLEMS: STOCHASTIC MAXIMUM PRINCIPLE AND TRANSPORT PERSPECTIVE
Acciaio, Beatrice
Backhoff-Veraguas, Julio
Carmona, Rene
[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2019, 57 (06) : 3666 - 3693

← 1 2 3 4 5 →