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Latest revision as of 23:25, 6 July 2024

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A stochastic maximum principle in mean-field optimal control problems for jump diffusions
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    A stochastic maximum principle in mean-field optimal control problems for jump diffusions (English)
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    28 October 2013
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    stochastic systems with jumps
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    mean-field control problem
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    stochastic maximum principle
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    necessary optimality conditions
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    convexity conditions
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    final cost functions
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    mean-variance portfolio selection problem
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    jump diffusions
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    independent Brownian motion
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    stochastic differential equation
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    Poisson random measure
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