A stochastic maximum principle in mean-field optimal control problems for jump diffusions (Q375182): Difference between revisions
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Revision as of 22:57, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic maximum principle in mean-field optimal control problems for jump diffusions |
scientific article |
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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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