Colloquium: Jie Xiong (Southern University of Science and Technology)

January 31, 2024 @ 4:30 pm – 5:30 pm
Keller 303

Title: Stochastic maximum principle for weighted mean-field system

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. Also, we establish a sufficient condition of optimality.  As an application, we investigate the optimal premium policy of an insurance firm for asset–liability management problem.