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.
Authors
- Le Xu (ORCID: https://orcid.org/0000-0002-1856-1856)
- Zhongfeng Yan
- Yuzu Wang
- SingRu (Celine) Hoe
Institutions
- Jinan University (CN)
- East Texas A&M University (US)
Publication Details
- Journal
- Mathematics
- Published
- 2026-05-22
- DOI
- https://doi.org/10.3390/math14111792
- Primary Topic
- Stability and Controllability of Differential Equations
- Type
- article
- Field-Weighted Citation Impact
- 0.00