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
收藏
页码：1039 / 1053
页数：15
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