Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem (Q2354571): Difference between revisions

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English	Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem	scientific article

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scholarly article

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title

Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem (English)

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Communications in Mathematics and Statistics

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publication date

20 July 2015

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zbMATH Keywords

mean-field forward-backward stochastic differential equation with jumps

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optimal stochastic control

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mean-field maximum principle

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mean-variance portfolio selection with recursive utility functional

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time-inconsistent control problem

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s40304-015-0054-1

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cites work

Q3236483

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A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS

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Mean Field Games for Large-Population Multiagent Systems with Markov Jump Parameters

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Adaptive mean field games for large population coupled ARX systems with unknown coupling strength

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Mean-field backward stochastic differential equations and related partial differential equations

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Discrete time mean-field stochastic linear-quadratic optimal control problems

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A general stochastic maximum principle for SDEs of mean-field type

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A mean-field stochastic maximum principle via Malliavin calculus

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On near-optimal mean-field stochastic singular controls: necessary and sufficient conditions for near-optimality

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A mean-field necessary and sufficient conditions for optimal singular stochastic control

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Stochastic near-optimal singular controls for jump diffusions: necessary and sufficient conditions

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Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information

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A maximum principle for SDEs of mean-field type

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Stochastic maximum principle in the mean-field controls

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Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations

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The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem

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Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance

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Mean-field backward stochastic evolution equations in Hilbert spaces and optimal control for BSPDEs

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Maximum principle for forward-backward stochastic control system with random jumps and applications to finance

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Necessary conditions for optimal control of forward-backward stochastic systems with random jumps

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Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions

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Discrete-time approximation of decoupled Forward-Backward SDE with jumps

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On maximum principle of near-optimality for diffusions with jumps, with application to consumption-investment problem

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Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance

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Continuous-time mean-variance portfolio selection: a stochastic LQ framework

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Identifiers

zbMATH Open document ID

1317.93270

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DOI

10.1007/s40304-015-0054-1

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Mathematics Subject Classification ID

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Mathematics(1 entry)

mardi Publication:2354571

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+A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
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@@ Property / cites work @@
+Mean Field Games for Large-Population Multiagent Systems with Markov Jump Parameters
+Normal rank
@@ Property / cites work @@
+Adaptive mean field games for large population coupled ARX systems with unknown coupling strength
+Normal rank
@@ Property / cites work @@
+Mean-field backward stochastic differential equations and related partial differential equations
+Normal rank
@@ Property / cites work @@
+Discrete time mean-field stochastic linear-quadratic optimal control problems
+Normal rank
@@ Property / cites work @@
+A general stochastic maximum principle for SDEs of mean-field type
+Normal rank
@@ Property / cites work @@
+A mean-field stochastic maximum principle via Malliavin calculus
+Normal rank
@@ Property / cites work @@
+On near-optimal mean-field stochastic singular controls: necessary and sufficient conditions for near-optimality
+Normal rank
@@ Property / cites work @@
+A mean-field necessary and sufficient conditions for optimal singular stochastic control
+Normal rank
@@ Property / cites work @@
+Stochastic near-optimal singular controls for jump diffusions: necessary and sufficient conditions
+Normal rank
@@ Property / cites work @@
+Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information
+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 @@
+Stochastic maximum principle in the mean-field controls
+Normal rank
@@ Property / cites work @@
+Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
+Normal rank
@@ Property / cites work @@
+Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
+Normal rank
@@ Property / cites work @@
+Mean-field backward stochastic evolution equations in Hilbert spaces and optimal control for BSPDEs
+Normal rank
@@ Property / cites work @@
+Maximum principle for forward-backward stochastic control system with random jumps and applications to finance
+Normal rank
@@ Property / cites work @@
+Necessary conditions for optimal control of forward-backward stochastic systems with random jumps
+Normal rank
@@ Property / cites work @@
+Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
+Normal rank
@@ Property / cites work @@
+Discrete-time approximation of decoupled Forward-Backward SDE with jumps
+Normal rank
@@ Property / cites work @@
+On maximum principle of near-optimality for diffusions with jumps, with application to consumption-investment problem
+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 @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank
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+Publication:2354571