Mean-field FBSDE and optimal control

被引：2

作者：

Agram, Nacira ^{[1
]}

Choutri, Salah Eddine ^{[2
,3
]}

机构：

[1] Linnaeus Univ LNU, Dept Math, Vaxjo, Sweden

[2] New York Univ Abu Dhabi, Learning & Game Theory Lab L&G Lab, Abu Dhabi, U Arab Emirates

[3] New York Univ Abu Dhabi, Ctr Stabil Instabil & Turbulence SITE, Abu Dhabi, U Arab Emirates

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2021年 / 39卷 / 02期

关键词：

Mean-field forward-backward SDE; risk minimization; stochastic maximum principle;

D O I：

10.1080/07362994.2020.1794893

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We study optimal control for mean-field forward-backward stochastic differential equations with payoff functionals of mean-field type. Sufficient and necessary optimality conditions in terms of a stochastic maximum principle are derived. As an illustration, we solve an optimal portfolio with mean-field risk minimization problem.

引用

收藏

页码：235 / 251

页数：17

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