A stochastic maximum principle in mean-field optimal control problems for jump diffusions (Q375182): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H10
@@ Property / Mathematics Subject Classification ID: 60H10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H30
@@ Property / Mathematics Subject Classification ID: 60H30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+K45
@@ Property / Mathematics Subject Classification ID: 49K45 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6220521
@@ Property / zbMATH DE Number: 6220521 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic systems with jumps
@@ Property / zbMATH Keywords: stochastic systems with jumps / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+mean-field control problem
@@ Property / zbMATH Keywords: mean-field control problem / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic maximum principle
@@ Property / zbMATH Keywords: stochastic maximum principle / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+necessary optimality conditions
@@ Property / zbMATH Keywords: necessary optimality conditions / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+convexity conditions
@@ Property / zbMATH Keywords: convexity conditions / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+final cost functions
@@ Property / zbMATH Keywords: final cost functions / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+mean-variance portfolio selection problem
@@ Property / zbMATH Keywords: mean-variance portfolio selection problem / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+jump diffusions
@@ Property / zbMATH Keywords: jump diffusions / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+independent Brownian motion
@@ Property / zbMATH Keywords: independent Brownian motion / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic differential equation
@@ Property / zbMATH Keywords: stochastic differential equation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Poisson random measure
@@ Property / zbMATH Keywords: Poisson random measure / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2083862548
@@ Property / OpenAlex ID: W2083862548 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3378585
@@ Property / cites work: Q3378585 / rank @@
+Normal rank
@@ Property / cites work @@
+A maximum principle for SDEs of mean-field type
@@ Property / cites work: A maximum principle for SDEs of mean-field type / rank @@
+Normal rank
@@ Property / cites work @@
+A Maximum Principle for Stochastic Control with Partial Information
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and integral-partial differential equations
+Normal rank
@@ Property / cites work @@
+Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
+Normal rank
@@ Property / cites work @@
+Q4742671
@@ Property / cites work: Q4742671 / rank @@
+Normal rank
@@ Property / cites work @@
+Discrete-time approximation of decoupled Forward-Backward SDE with jumps
+Normal rank
@@ Property / cites work @@
+Mean-field backward stochastic differential equations: A limit approach
+Normal rank
@@ Property / cites work @@
+Mean-field backward stochastic differential equations and related partial differential equations
+Normal rank
@@ Property / cites work @@
+Near optimality conditions in stochastic control of jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Q4085497
@@ Property / cites work: Q4085497 / rank @@
+Normal rank
@@ Property / cites work @@
+The optimal control of diffusions
@@ Property / cites work: The optimal control of diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps
+Normal rank
@@ Property / cites work @@
+Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
+Normal rank
@@ Property / cites work @@
+Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach
+Normal rank
@@ Property / cites work @@
+Mean field games
@@ Property / cites work: Mean field games / rank @@
+Normal rank
@@ Property / cites work @@
+Applied stochastic control of jump diffusions
@@ Property / cites work: Applied stochastic control of jump diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+A General Stochastic Maximum Principle for Optimal Control Problems
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:375182