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, Guangchen
作者机构:[Wang, Guangchen ;Zhang, Chenghui ] School of Control Science and Engineering, Shandong University, Jinan; 250061, China;[Wu, Zhen ] School of Mathema 更多
会议名称:Proceedings of the 33rd Chinese Control Conference, CCC 2014
会议日期:28 July 2014 through 30 July 2014
来源:Proceedings of the 33rd Chinese Control Conference, CCC 2014
出版年:2014
页码:5357-5362
DOI:10.1109/ChiCC.2014.6895853
关键词:Convex variation; Filtering; Girsanov theorem; Maximum principle; Mean-field stochastic differential equation; 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. © 2014 TCCT, CAA.
收录类别:EI;SCOPUS
Scopus被引频次:3
资源类型:会议论文;期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-84907921341&doi=10.1109%2fChiCC.2014.6895853&partnerID=40&md5=d7fc0d7010814029ca80778149e8b966
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