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- W4309388723 abstract "We consider the optimal control problem for a linear conditional McKean-Vlasov equation with quadratic cost functional. The coefficients of the system and the weigh-ting matrices in the cost functional are allowed to be adapted processes with respect to the common noise filtration. Semi closed-loop strategies are introduced, and following the dynamic programming approach in [32], we solve the problem and characterize time-consistent optimal control by means of a system of decoupled backward stochastic Riccati differential equations. We present several financial applications with explicit solutions, and revisit in particular optimal tracking problems with price impact, and the conditional mean-variance portfolio selection in incomplete market model." @default.
- W4309388723 created "2022-11-26" @default.
- W4309388723 creator A5055802354 @default.
- W4309388723 date "2016-04-22" @default.
- W4309388723 modified "2023-09-30" @default.
- W4309388723 title "Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications *" @default.
- W4309388723 doi "https://doi.org/10.48550/arxiv.1604.06609" @default.
- W4309388723 hasPublicationYear "2016" @default.
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