Optimal Control Problems Governed by MFSDEs with multi-defaults

arXiv2010.13608MaRDI QIDQ6504282FDOQ6504282

Jian-hao Kang, Minghui Wang, Zhun Gou, Nan-Jing Huang

Abstract: In this paper, we solve an optimal control problem governed by a system of mean-field stochastic differential equations with multiple defaults (MMFSDEs). We transform the global optimal control problem into several optimal control subproblems governed by a system of mean-field stochastic differential equations with single default (SMFSDEs) and derive both the sufficient and necessary maximum principles for these subproblems. We also give the existence and uniqueness of solutions to the MMFSDEs and the mean-field backward stochastic differential equations with multiple defaults (MMFBSDEs), respectively. Finally, as an example, our results are applied to obtain the explicit solution for an optimal control problem whose cost function is considered as a recursive utility process with multiple defaults.

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Stochastic integral equations (60H20) Jump processes on general state spaces (60J76)

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