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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
Contributor : Huyên Pham <>
Submitted on : Tuesday, March 7, 2017 - 2:49:57 PM
Last modification on : Friday, March 27, 2020 - 3:56:25 AM
Document(s) archivé(s) le : Thursday, June 8, 2017 - 2:05:24 PM

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LQstoMcKeanrandomrev.pdf
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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 *. 2017. ⟨hal-01305929v2⟩

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