A nonhomogeneous mean-field linear-quadratic optimal control problem and application

DOI10.1007/S10255-021-1045-5MaRDI QIDQ2240664zbMATHOpenAlexFDO

Authors Shuang Wu

Publication date 4 November 2021

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-021-1045-5

zbMATH Keywords

backward stochastic differential equationmean-field stochastic differential equationRiccati equationlinear-quadratic optimal control problemmean-variance hedging portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3121490 (Why is no real title available?)
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• Mean-variance hedging and forward-backward stochastic differential filtering equations
• Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach
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• Solvability of indefinite stochastic Riccati equations and linear quadratic optimal control problems
• Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
• Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information
• Stochastic linear quadratic regulators with indefinite control weight costs. II
• Stochastic maximum principle in the mean-field controls
• The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem

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