论文标题
加权平均场系统的随机最大原理
Stochastic maximum principle for weighted mean-field system
论文作者
论文摘要
我们研究加权平均场系统的最佳控制问题。控制问题的一个新功能是系数取决于状态过程及其加权度量和控制变量。通过应用变异技术，我们建立了随机最大原理。作为应用程序，我们调查了资产责任管理问题保险公司的最佳保费政策。
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.
