中文版 | English
Title

STOCHASTIC MAXIMUM PRINCIPLE FOR WEIGHTED MEAN-FIELD SYSTEM

Author
Corresponding AuthorXiong, Jie
Publication Years
2023-02-01
DOI
Source Title
ISSN
1937-1632
EISSN
1937-1179
Abstract
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.
Keywords
URL[Source Record]
Indexed By
Language
English
SUSTech Authorship
First ; Corresponding
Funding Project
NSFC[ZDSYS20210623092007023] ; National Key R&D Program of China[11831010] ; null[2022YFA1006102]
WOS Research Area
Mathematics
WOS Subject
Mathematics, Applied
WOS Accession No
WOS:000937396100001
Publisher
Data Source
Web of Science
Citation statistics
Cited Times [WOS]:0
Document TypeJournal Article
Identifierhttp://kc.sustech.edu.cn/handle/2SGJ60CL/501458
DepartmentDepartment of Mathematics
Affiliation
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
First Author AffilicationDepartment of Mathematics;  Southern University of Science and Technology
Corresponding Author AffilicationSouthern University of Science and Technology;  Department of Mathematics;  
First Author's First AffilicationDepartment of Mathematics
Recommended Citation
GB/T 7714
Tang, Yanyan,Xiong, Jie. STOCHASTIC MAXIMUM PRINCIPLE FOR WEIGHTED MEAN-FIELD SYSTEM[J]. Discrete and Continuous Dynamical Systems-Series S,2023.
APA
Tang, Yanyan,&Xiong, Jie.(2023).STOCHASTIC MAXIMUM PRINCIPLE FOR WEIGHTED MEAN-FIELD SYSTEM.Discrete and Continuous Dynamical Systems-Series S.
MLA
Tang, Yanyan,et al."STOCHASTIC MAXIMUM PRINCIPLE FOR WEIGHTED MEAN-FIELD SYSTEM".Discrete and Continuous Dynamical Systems-Series S (2023).
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