相关论文: A Mean-Field Control Problem of Optimal Portfolio …

In this paper, we consider the optimal portfolio liquidation problem under the dynamic mean-variance criterion and derive time-consistent solutions in three important models. We give adapted optimal strategies under a reconsidered…

We study the linear-quadratic control problem for a class of non-exchangeable mean-field systems, which model large populations of heterogeneous interacting agents. We explicitly characterize the optimal control in terms of a new…

This paper considers an optimal control problem for a linear mean-field stochastic differential equation having regime switching with quadratic functional in the large time horizons. Our main contribution lies in establishing the strong…

This paper studies the continuous time mean-variance portfolio selection problem with one kind of non-linear wealth dynamics. To deal the expectation constraint, an auxiliary stochastic control problem is firstly solved by two new…

We study unconstrained and constrained linear quadratic problems and investigate the suboptimality of the model predictive control (MPC) method applied to such problems. Considering MPC as an approximate scheme for solving the related fixed…

Different from most of the previous works, this paper provides a thorough solution to the fundamental problems of linear-quadratic (LQ) control and stabilization for discrete-time mean-field systems under basic assumptions. Firstly, the…

In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We derive a reduced form model for the dynamic of their aggregated…

We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon pro\-blems, and allow notably some coefficients to be stochastic. Extension to…

This paper investigates a conditional mean-field type linear quadratic (LQ) optimal control problem with partial observation and regime switching, where the conditional expectations of the state and control given the history of Markov chain…

We develop the linear programming approach to mean-field games in a general setting. This relaxed control approach allows to prove existence results under weak assumptions, and lends itself well to numerical implementation. We consider…

This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as uncertainty in the filling orders. The problem is…

Optimal control of heterogeneous mean-field stochastic differential equations with common noise has not been addressed in the literature. In this work, we initiate the study of such models. We formulate the problem within a linear-quadratic…

This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…

In this paper, we concern with the ergodic linear-quadratic closed-loop optimal control problems, in which the state equation is the mean-field stochastic differential equation with periodic coefficients. We first study the asymptotic…

This paper is devoted to a Stackelberg stochastic differential game for a linear mean-field type stochastic differential system with a mean-field type quadratic cost functional in finite horizon. The coefficients in the state equation and…

This paper studies optimal control and stabilization problems for continuous-time mean-field systems with input delay, which are the fundamental development of control and stabilization problems for mean-field systems. There are two main…

In this paper, we investigate mean-variance (MV) portfolio selection problems with jumps in a regime-switching financial model. The novelty of our approach lies in allowing not only the market parameters -- such as the interest rate,…

In the continuous time mean-variance model, we want to minimize the variance (risk) of the investment portfolio with a given mean at terminal time. However, the investor can stop the investment plan at any time before the terminal time. To…

This paper investigates a continuous-time portfolio optimization problem with the following features: (i) a no-short selling constraint; (ii) a leverage constraint, that is, an upper limit for the sum of portfolio weights; and (iii) a…

We study a general linear quadratic mean field type control problem and connect it to mean field games of a similar type. The solution is given both in terms of a forward/backward system of stochastic differential equations and by a pair of…