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arXiv · 2208.11679

Stochastic maximum principle for weighted mean-field system

Yanyan Tang·Jie Xiong
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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. As an application, we investigate the optimal premium policy of an insurance firm for asset-liability management problem.

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Yanyan Tang, Jie Xiong. 2022-08-23. Stochastic maximum principle for weighted mean-field system. https://arxiv.org/abs/2208.11679

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