Generalized Finite Difference Methods for Risk-Averse Optimal Investment in Mean-Field Type Control

This work studies a finite-time mean-field type control problem arising from optimal investment under uncertainty with risk management. The problem leads to a nonlinearly coupled system of parabolic equations with temporal and nonlocal interactions. An explicit characterization of the solution to the system is obtained, and a generalized finite difference method (GFDM) combined with an iterative scheme is developed to ensure global temporal consistency of the mean-field feedback during backward computation. Numerical experiments illustrate the accuracy and effectiveness of the proposed approach.In addition, sensitivity studies with respect to the volatility and risk-aversion parameters demonstrate the robustness of the proposed numerical framework under parameter perturbations.

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Journal
Mathematics
Published
2026-05-22
DOI
https://doi.org/10.3390/math14111792
Primary Topic
Stability and Controllability of Differential Equations
Type
article
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0.00
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article

Generalized Finite Difference Methods for Risk-Averse Optimal Investment in Mean-Field Type Control

Le Xu, Zhongfeng Yan, Yuzu Wang, SingRu (Celine) Hoe
Mathematics
Stability and Controllability of Differential Equations
article

Generalized Finite Difference Methods for Risk-Averse Optimal Investment in Mean-Field Type Control

Le Xu, Zhongfeng Yan, Yuzu Wang, SingRu (Celine) Hoe
article en

Abstract

This work studies a finite-time mean-field type control problem arising from optimal investment under uncertainty with risk management. The problem leads to a nonlinearly coupled system of parabolic equations with temporal and nonlocal interactions. An explicit characterization of the solution to the system is obtained, and a generalized finite difference method (GFDM) combined with an iterative scheme is developed to ensure global temporal consistency of the mean-field feedback during backward computation. Numerical experiments illustrate the accuracy and effectiveness of the proposed approach.In addition, sensitivity studies with respect to the volatility and risk-aversion parameters demonstrate the robustness of the proposed numerical framework under parameter perturbations.

MathematicsVol. 14(11)
Jinan University (CN), East Texas A&M University (US)
Openalex Percentile: Top 5%
Stability and Controllability of Differential Equations
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