Special Session 16: Recent Development of Stochastic Optimal Control and Differential Games

Stochastic maximum principle for weighted mean-field system with application to ambiguity filtering
Jie Xiong
Southern University of Science and Technology
Peoples Rep of China
Co-Author(s):    YanyanTang and Jiaqi Zhang
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 ambiguity filtering problem.