Maximum Principles for Partially Observed Mean-Field Stochastic Systems with Application to Financial Engineering

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.

关键词： Maximum principle Mean-field stochastic differential equation Girsanov theorem Convex variation Filtering Premium policy

作者: WANG Guangchen WU Zhen ZHANG Chenghui

作者单位: School of Control Science and Engineering,Shandong University,Jinan 250061,P.R.China School of Mathematics,Shandong University,Jinan 250100,P.R.China

会议类型: 国际会议

会议名称: The 33th Chinese Control Conference第33届中国控制会议

会议地点: 南京

会议语种:英文

页码: 5357-5362

在线出版日期: 2014-07-28（万方平台首次上网日期，不代表论文的发表时间）