Linear-quadratic optimal control for non-exchangeable mean-field SDEs and applications to systemic risk
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866918264798445568 |
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| author | de Crescenzo, Anna de Feo, Filippo Pham, Huyên |
| author_facet | de Crescenzo, Anna de Feo, Filippo Pham, Huyên |
| contents | 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 infinite-dimensional system of Riccati equations, for which we establish existence and uniqueness. To illustrate our results, we apply this framework to a systemic risk model involving heterogeneous banks, demonstrating the impact of agent heterogeneity on optimal risk mitigation strategies. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2503_03318 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Linear-quadratic optimal control for non-exchangeable mean-field SDEs and applications to systemic risk de Crescenzo, Anna de Feo, Filippo Pham, Huyên Optimization and Control Probability 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 infinite-dimensional system of Riccati equations, for which we establish existence and uniqueness. To illustrate our results, we apply this framework to a systemic risk model involving heterogeneous banks, demonstrating the impact of agent heterogeneity on optimal risk mitigation strategies. |
| title | Linear-quadratic optimal control for non-exchangeable mean-field SDEs and applications to systemic risk |
| topic | Optimization and Control Probability |
| url | https://arxiv.org/abs/2503.03318 |