Relationship between backward and forward linear-quadratic mean-field-game with terminal constraint and optimal asset allocation for insurers and pension funds-Reference-Cited by-同舟云学术

Relationship between backward and forward linear-quadratic mean-field-game with terminal constraint and optimal asset allocation for insurers and pension funds

Published:2019-03-21 Issue:2 Volume:94 Page:336-350
ISSN:0020-7179
Container-title:International Journal of Control
language:en
Short-container-title:International Journal of Control

Author:

Du Kai¹²,Huang Jianhui³,Wu Zhen¹

Affiliation:

1. School of Mathematics, Shandong University, Jinan, People's Republic of China

2. Zhongtai Securities Institute for Financial Study, Shandong University, Jinan, People's Republic of China

3. Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong

Funder

National Natural Sciences Foundations of China

Natural Science Foundation of Shandong Province

RGC

Publisher

Informa UK Limited

Subject

Computer Science Applications,Control and Systems Engineering

Link

https://www.tandfonline.com/doi/pdf/10.1080/00207179.2019.1590740

Reference35 articles.

1. Mean Field Games and Mean Field Type Control Theory

2. An Introductory Approach to Duality in Optimal Stochastic Control

3. Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans

4. Probabilistic Analysis of Mean-Field Games

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