A stochastic maximum principle in mean-field optimal control problems for jump diffusions (Q375182): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / zbMATH DE Number: 6220521 / rank | |||
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| Property / zbMATH Keywords | |||
stochastic systems with jumps | |||
| Property / zbMATH Keywords: stochastic systems with jumps / rank | |||
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mean-field control problem | |||
| Property / zbMATH Keywords: mean-field control problem / rank | |||
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stochastic maximum principle | |||
| Property / zbMATH Keywords: stochastic maximum principle / rank | |||
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necessary optimality conditions | |||
| Property / zbMATH Keywords: necessary optimality conditions / rank | |||
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convexity conditions | |||
| Property / zbMATH Keywords: convexity conditions / rank | |||
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final cost functions | |||
| Property / zbMATH Keywords: final cost functions / rank | |||
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mean-variance portfolio selection problem | |||
| Property / zbMATH Keywords: mean-variance portfolio selection problem / rank | |||
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jump diffusions | |||
| Property / zbMATH Keywords: jump diffusions / rank | |||
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independent Brownian motion | |||
| Property / zbMATH Keywords: independent Brownian motion / rank | |||
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stochastic differential equation | |||
| Property / zbMATH Keywords: stochastic differential equation / rank | |||
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Poisson random measure | |||
| Property / zbMATH Keywords: Poisson random measure / rank | |||
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Revision as of 11:22, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic maximum principle in mean-field optimal control problems for jump diffusions |
scientific article |
Statements
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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