STOCHASTIC MAXIMUM PRINCIPLE FOR WEIGHTED MEAN-FIELD SYSTEM

Tang, Yanyan2,3; Xiong, Jie1,2,3

2023-02-01

10.3934/dcdss.2023011

Discrete and Continuous Dynamical Systems-Series S   影响因子和分区

1937-1632

1937-1179

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.

McKean-Vlasov equation stochastic maximum principle

SCI

英语

第一 ; 通讯

NSFC[ZDSYS20210623092007023] ; National Key R&D Program of China[11831010] ; null[2022YFA1006102]

Mathematics

Mathematics, Applied

WOS:000937396100001

AMER INST MATHEMATICAL SCIENCES-AIMS

Web of Science

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

Tang, Yanyan,Xiong, Jie. STOCHASTIC MAXIMUM PRINCIPLE FOR WEIGHTED MEAN-FIELD SYSTEM[J]. Discrete and Continuous Dynamical Systems-Series S,2023,16(5).

Tang, Yanyan,&Xiong, Jie.(2023).STOCHASTIC MAXIMUM PRINCIPLE FOR WEIGHTED MEAN-FIELD SYSTEM.Discrete and Continuous Dynamical Systems-Series S,16(5).

Tang, Yanyan,et al."STOCHASTIC MAXIMUM PRINCIPLE FOR WEIGHTED MEAN-FIELD SYSTEM".Discrete and Continuous Dynamical Systems-Series S 16.5(2023).