Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications *

Abstract : We consider the optimal control problem for a linear conditional McKean-Vlasov equation with quadratic cost functional. The coefficients of the system and the weigh-ting matrices in the cost functional are allowed to be adapted processes with respect to the common noise filtration. Semi closed-loop strategies are introduced, and following the dynamic programming approach in [32], we solve the problem and characterize time-consistent optimal control by means of a system of decoupled backward stochastic Riccati differential equations. We present several financial applications with explicit solutions, and revisit in particular optimal tracking problems with price impact, and the conditional mean-variance portfolio selection in incomplete market model.
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https://hal.archives-ouvertes.fr/hal-01305929
Contributeur : Huyen Pham <>
Soumis le : vendredi 22 avril 2016 - 09:14:52
Dernière modification le : mercredi 25 avril 2018 - 10:45:26
Document(s) archivé(s) le : samedi 23 juillet 2016 - 10:32:55

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LQstoMcKeanrandom.pdf
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  • HAL Id : hal-01305929, version 1
  • ARXIV : 1604.06609

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Huyên Pham. Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications *. 2016. 〈hal-01305929v1〉

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