2017/08/17 by Qingxin Meng, Meng, Qingxin, Qiu‐Hong Shi +3
Economics, Econometrics and Finance · Social Sciences · #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1708.05663
openalex publication_date 2017/08/17 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper is concerned with the partial information optimal control problem of mean-field type under partial observation, where the system is given by a controlled mean-field forward-backward stochastic differential equation with correlated noises between the system and the observation, moreover the observation coefficients may depend not only on the control process and but also on its probability distribution. Under standard assumptions on the coefficients, necessary and sufficient conditions for optimality of the control problem in the form of Pontryagin's maximum principles are established in a unified way.