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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Latest revision as of 05:10, 7 July 2024

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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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    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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