The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem (Q392462): Difference between revisions
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Revision as of 00:09, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem |
scientific article |
Statements
The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem (English)
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14 January 2014
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mean-field model
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stochastic maximum principle
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jump-diffusion
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backward stochastic differential equation
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mean-variance portfolio selection
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