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.
Type de document :
Pré-publication, Document de travail
to appear in Probability, Uncertainty and Quantitative Risk. 2017
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https://hal.archives-ouvertes.fr/hal-01305929
Contributeur : Huyen Pham <>
Soumis le : mardi 7 mars 2017 - 14:49:57
Dernière modification le : jeudi 27 avril 2017 - 09:46:08

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  • HAL Id : hal-01305929, version 2
  • ARXIV : 1604.06609

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Huyên Pham. Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications *. to appear in Probability, Uncertainty and Quantitative Risk. 2017. <hal-01305929v2>

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