Stochastic maximum principle for weighted mean-field system

DOI10.3934/DCDSS.2023011MaRDI QIDQ6107310zbMATH OpenOpenAlexFDO

Authors

Publication date 3 July 2023

Published in Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2208.11679

zbMATH Keywords

McKean-Vlasov equationstochastic maximum principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)

Abstract: 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. As an application, we investigate the optimal premium policy of an insurance firm for asset-liability management problem.

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Cited in

(5)

• Stochastic maximum principle for systems driven by local martingales with spatial parameters
• Stochastic maximum principle in the Pontryagin's form for wide band noise driven systems
• Stochastic filtering under model ambiguity
• Stochastic maximum principle for weighted mean-field system with jumps
• A stochastic fixed point equation for weighted minima and maxima

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