检索结果-南通市图书馆

维普期刊数据库

A maximum principle for optimal control problem of fully coupled forward-backward stochastic systems with partial information

在线全文

学校读者我要写书评

暂无评论

Science China Mathematics 2009年第7期52卷 1579-1588页

作者： MENG QingXin1,2 1 Department of Mathematical Sciences,Huzhou University,Zhejiang 313000,China 2 Institute of Mathematics,Fudan University,Shanghai 200433,China Department of Mathematical Sciences Huzhou University Zhejiang China Institute of Mathematics Fudan University Shanghai China

The paper is concerned with a stochastic optimal control problem in which the controlled system is described by a fully coupled nonlinear forward-backward stochastic differential equation driven by a Brownian *** is required that all admissible control processes are adapted to a given subfiltration of the filtration generated by the underlying Brownian *** this type of partial information control,one sufficient(a verification theorem) and one necessary conditions of optimality are *** control domain need to be convex and the forward diffusion coefficient of the system can contain the control variable.

关键词： maximum principle stochastic optimal control partial information 93E20 60H10 60H30

维普期刊数据库

Optimal control problems of mean-field forward-backward stochastic differential equations with partial information 25th

在线全文

学校读者我要写书评

暂无评论

Optimal control problems of mean-field forward-backward stoc...

第25届中国控制与决策会议

作者： ZUO Shanshan MIN Hui School of Mathematics and Statistics Shandong University

ISBN: (纸本)9781467355339

This paper mainly works on an optimal control problem of mean-field forward-backward stochastic differential equations （MFFBSDEs） with partial information. But different from the general optimal control problems, this paper is concerned with the case of partial information and state equations are coupled at initial time. Meanwhile, we introduce the mean-field theory. By virtue of the classical convex variational technique, we establish a necessary maximum principle for the optimization problems.

关键词： MFFBSDEs partial information optimal control problems maximum principle.

Optimal Reinsurance and Investment Strategies Under Mean-Variance Criteria:partial and Full information

在线全文

cnki会议

学校读者我要写书评

暂无评论

Journal of Systems Science & Complexity 2022年第4期35卷 1458-1479页

作者： ZHU Shihao SHI Jingtao School of Mathematics Shandong UniversityJinan250100China

This paper is concerned with an optimal reinsurance and investment problem for an insurance firm under the criterion of mean-variance. The driving Brownian motion and the rate in return of the risky asset price dynamic equation cannot be directly observed. And the short-selling of stocks is prohibited. The problem is formulated as a stochastic linear-quadratic control problem where the control variables are constrained. Based on the separation principle and stochastic filtering theory, the partial information problem is solved. Efficient strategies and efficient frontier are presented in closed forms via solutions to two extended stochastic Riccati equations. As a comparison, the efficient strategies and efficient frontier are given by the viscosity solution to the HJB equation in the full information case. Some numerical illustrations are also provided.

关键词： Mean-variance optimal reinsurance and investment partial information stochastic filtering viscosity solution

维普期刊数据库

A Linear Quadratic Stackelberg Game of Backward Stochastic Differential Equations with partial information

在线全文

学校读者我要写书评

暂无评论

A Linear Quadratic Stackelberg Game of Backward Stochastic D...

第三十九届中国控制会议

作者： Yueyang Zheng Jingtao Shi School of Mathematics Shandong University Corresponding author.School of Mathematics Shandong University

The paper is concerned with a linear quadratic（LQ） Stackelberg game of backward stochastic differential equations（BSDEs） with partial information, where the information of the leader is a sub-σ-algebra of that of the follower which is a kind of new feature of asymmetric information. By the maximum principle, the state feedback representation for the optimal control of the follower is first given via two Riccati equations. Then two new high-dimensional Riccati equations, a backward stochastic differential filtering equation（BSDFE） and a stochastic differential filtering equation（SDFE） are introduced to represent the state estimate feedback for the optimal control of the leader.

关键词： Stackelberg game backward stochastic differential equation partial information maximum principle linearquadratic control

Necessary and Sufficient Conditions of Optimality for Stochastic Integral Systems with partial information

在线全文

cnki会议

学校读者我要写书评

暂无评论

Necessary and Sufficient Conditions of Optimality for Stocha...

第三十届中国控制会议

作者： WANG Tianxiao~1,ZHU Qingfeng~(1,2),SHI Yufeng~1 1.School of Mathematics,Shandong University,Jinan 250100,P.R.China 2.School of Statistics and Mathematics,Shandong University of Finance,Jinan 250014,P.R.China

＜正＞This paper is concerned with a partial information control problem in which the controlled system is described by a nonlinear stochastic Volterra integral *** give necessary as well as sufficient conditions in the form of maximum principle for optimal solutions of the foregoing problem *** further explain the theoretical results,we study a linear quadratic problem with partial information and a dynamic advertising problem in the stochastic setting.

关键词： Maximum Principle Sufficient And Necessary Conditions partial information Dynamic Advertising Model

Stochastic Differential Games of Fully Coupled Forward-backward Stochastic Systems under partial information

在线全文

cnki会议

学校读者我要写书评

暂无评论

Stochastic Differential Games of Fully Coupled Forward-backw...

第二十九届中国控制会议

作者： TANG Maoning1,MENG Qingxin2 1.Department of Mathematics,Huzhou University,Huzhou 313000,P.R.China2.Institute of Mathematics,Fudan University,Shanghai 200433,P.R.China

In this paper,an open-loop two-person zero-sum stochastic differential game is considered under partial *** precisely,the controlled systems are described by a fully coupled nonlinear multi-dimensional forward-backward stochastic differential equation driven by a multi-dimensional Brownian motion,and all admissible control processes for both players are required to be adapted to a given subfiltration of the filtration generated by the underlying Brownian *** this type of partial information stochastic differential game,one sufficient（a verification theorem）and one necessary conditions for the existence of open-loop saddle points for the corresponding two-person zero-sum stochastic differential game are *** control domain need to be convex and the admissible controls for both players are allowed to appear in both the drift and diffusion of the state equations.

关键词： Maximum Principle Stochastic Differential Game partial information

Optimal Control Problem of Fully Coupled Forward-Backward Stochastic Systems with Poisson Jumps Under partial information

在线全文

cnki会议

学校读者我要写书评

暂无评论

Optimal Control Problem of Fully Coupled Forward-Backward St...

第三十届中国控制会议

作者： MENG Qingxin~1,SUN Yongzheng~2 1.Department of Mathematics,Huzhou University,Huzhou 313000,P.R.China 2.School of Sciences,China University of Mining and Technology,Xuzhou,221008,P.R.China

＜正＞In this paper,we study a class of stochastic optimal control problem with jumps under partial *** precisely,the controlled systems are described by a fully coupled nonlinear multi-dimensional forward-backward stochastic differential equation driven by a Poisson random measure and an independent multi-dimensional Brownian motion,and all admissible control processes are required to be adapted to a given subfiltration of the filtration generated by the underlying Poisson random measure and Brownian *** this type of partial information stochastic optimal control problem,we give a necessary and sufficient maximum *** the coefficients appearing in the systems are allowed to depend on the control variables and the control domain is convex.

关键词： Poisson process Backward stochastic differential equation Maximum principle Stochastic optimal control partial information

Stochastic Linear Quadratic Optimal Control with partial information and Its Application to Mean-Variance Hedging Problems

在线全文

cnki会议

学校读者我要写书评

暂无评论

Stochastic Linear Quadratic Optimal Control with Partial Inf...

第二十七届中国控制会议

作者： Wang Guangchen1,Wu Zhen2 1.School of Mathematical Sciences,Shandong Normal University,Jinan 250014,P.R.China 2.School of Mathematics and System Sciences,Shandong University,Jinan 250100,P.R.China

This paper is concerned with a stochastic linear quadratic(LQ) optimal control with partial information where the control system is a non-Markov *** solved this problem explicitly by completion of squares *** optimal control is denoted by the corresponding optimal state equation,a Riccati differential equation and a backward stochastic differential equation(BSDE) with the dynamics similar to the optimal state *** then the general result is applied to a partial information mean-variance hedging problem,where an optimal mean-variance portfolio strategy is denoted by the sum of a replicating portfolio strategy for a contingent claim and a Merton’s portfolio strategy with partial *** filtering for SDEs,an explicitly observable optimal portfolio strategy for a partial information mean-variance hedging problem is presented,and some numerical simulations on the problem are given to furthermore support our theoretical results.

关键词： LQ optimal control partial information Mean-variance hedging problem Portfolio strategy Backward stochastic differential equation Filtering

Stochastic maximum principle for partially observed forward-backward stochastic differential equations with jumps and regime switching

在线全文

cnki会议

学校读者我要写书评

暂无评论

Science China(information Sciences) 2018年第7期61卷 106-118页

作者： Shuaiqi ZHANG Jie XIONG Xiangdong LIU School of Economics and Commerce Guangdong University of Technology Department of Mathematics University of Macau Department of Mathematics Southern University of Science and Technology Department of Statistics Jinan University

In this article, we consider the partially observed optimal control problem for forward-backward stochastic systems with Markovian regime switching. A stochastic maximum principle for optimal control is developed using a variational method and filtering technique. Our theoretical results are applied to the motivating example of the risk minimization for portfolio selection.

关键词： partial information Markovian regime-switching stochastic maximum principle forwardbackward stochastic differential equation(FBSDE)