Date of Award
Master of Science (MS)
Mathematics and Systems Engineering
Son Luu Nguyen
Gnana Bhaskar Tenali
This thesis obtains a number of results in stochastic optimal control for conditional McKean-Vlasov equations with jump and Markovian switching. First, we prove the uniqueness of the solutions and derive a relevant version of Itô's formula. We provide the dynamic programming principle and prove the associated verification theorem. A stochastic maximum principle is established. Further, we derive the relationship between dynamic programming and the stochastic maximum principle. Additionally, we utilize our stochastic maximum principle result for a mean-variance portfolio selection problem.
Sharp, Charles Samuel Conly, "Stochastic Optimal Control of Conditional McKean-Vlasov Equations with Jump and Markovian Switching" (2023). Theses and Dissertations. 1380.
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