标题:Maximum Principles for Partially Observed Mean-Field Stochastic Systems with Application to Financial Engineering
作者:Wang Guangchen; Wu Zhen; Zhang Chenghui
通讯作者:Wang, GC
作者机构:[Wang Guangchen; Zhang Chenghui] Shandong Univ, Sch Control Sci & Engn, Jinan 250061, Peoples R China.; [Wu Zhen] Shandong Univ, Sch Math, Jinan 250 更多
会议名称:33rd Chinese Control Conference (CCC)
会议日期:JUL 28-30, 2014
来源:2014 33RD CHINESE CONTROL CONFERENCE (CCC)
出版年:2014
页码:5357-5362
关键词:Maximum principle; Mean-field stochastic differential equation; Girsanov; theorem; Convex variation; Filtering; Premium policy
摘要:This article is concerned with a partially observed optimal control problem derived by stochastic differential equations. One of novel features is that both the state equation and the cost functional are of mean-field type, which results in the problem time inconsistent in the sense that dynamic programming does not hold. Two maximum principles for optimality are obtained using Girsanov theorem, convex variation and approximation of smooth functions. A cash management model is worked out and is explicitly solved by virtue of the maximum principle and stochastic filtering.
收录类别:CPCI-S
WOS核心被引频次:2
资源类型:会议论文
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