فهرست نشریات علمی دسترسی آزاد ایران

In this paper, we study optimal control problem for stochastic systems generated by general McKean-Vlasov dynamics. The coefficients of the McKean-Vlasov dynamic depend on the state of the solution process as well as of its probability law. The information available to the controller is possibly less than the whole information. Our necessary maximum principle is established by applying Girsanov's Lemma and Lions's partial-derivatives with respect to probability law. As an application to finance, the conditional random mean-variance portfolio selection problem of McKean-Vlasov type is discussed to illustrate our theoretical results, where the optimal partially observed portfolio has been derived explicitly.