Pré-Publication, Document De Travail Année : 2025

Linear-quadratic optimal control for non-exchangeable mean-field SDEs and applications to systemic risk

Résumé

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.

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Dates et versions

hal-04975940 , version 1 (04-03-2025)
hal-04975940 , version 2 (16-12-2025)

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  • HAL Id : hal-04975940 , version 1

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Anna de Crescenzo, Filippo de Feo, Huyên Pham. Linear-quadratic optimal control for non-exchangeable mean-field SDEs and applications to systemic risk. 2025. ⟨hal-04975940v1⟩
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