Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
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Publication:2296086
backward stochastic differential equationdynamic programminglinear quadratic optimal controlrandom coefficientsRiccati equationstochastic McKean-Vlasov SDEs
Vlasov equations (35Q83) Optimality conditions for problems involving partial differential equations (49K20) Dynamic programming in optimal control and differential games (49L20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Dynamic stochastic general equilibrium theory (91B51) Optimal stochastic control (93E20)
Abstract: We consider the optimal control problem for a linear conditional McKean-Vlasov equation with quadratic cost functional. The coefficients of the system and the weigh-ting matrices in the cost functional are allowed to be adapted processes with respect to the common noise filtration. Semi closed-loop strategies are introduced, and following the dynamic programming approach in [32], we solve the problem and characterize time-consistent optimal control by means of a system of decoupled backward stochastic Riccati differential equations. We present several financial applications with explicit solutions, and revisit in particular optimal tracking problems with price impact, and the conditional mean-variance portfolio selection in incomplete market model.
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