Yanyan Tang, Jie Xiong
Published 2022-08-23Version 1
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. As an application, we investigate the optimal premium policy of an insurance firm for asset-liability management problem.
Constraint Algorithm for Extremals in Optimal Control Problems
A class of optimal control problems for mean-?field forward-backward stochastic systems with partial information
Kinetic description of optimal control problems and applications to opinion consensus
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