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

DOI10.1016/j.na.2013.02.029zbMath1279.49015OpenAlexW1978509017MaRDI QIDQ392462

Tak Kuen Siu, Yang Shen

Publication date: 14 January 2014

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2013.02.029

zbMATH Keywords

stochastic maximum principlebackward stochastic differential equationjump-diffusionmean-field modelmean-variance portfolio selection

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Ordinary differential equations and systems with randomness (34F05) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)

Related Items

Linear-quadratic mean-field type Stackelberg differential games for stochastic jump-diffusion systems, Stochastic linear quadratic control problem of switching systems with constraints, A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type, Mean-Variance Portfolio Selection in Contagious Markets, Mean-field-type games with jump and regime switching, Verification theory and approximate optimal harvesting strategy for a stochastic competitive ecosystem subject to Lévy noise, The stochastic maximum principle for a jump-diffusion mean-field model involving impulse controls and applications in finance, Maximum principle for mean-field zero-sum stochastic differential game with partial information and its application to finance, Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps, Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps, Maximum principle for mean-field SDEs under model uncertainty, Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations, Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem, Risk-sensitive mean-field-type games with \(L^p\)-norm drifts, Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems, A general maximum principle for partially observed mean-field stochastic system with random jumps in progressive structure, Stochastic maximum principle for weighted mean-field system, Pareto efficiency of finite-horizon mean-field cooperative stochastic differential games with Poisson jumps, A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain, Stackelberg game approach to mixed stochastic \(H_2 /H_{\infty}\) control for mean-field jump-diffusions systems, Well-posedness and regularity of mean-field backward doubly stochastic Volterra integral equations and applications to dynamic risk measures, Discrete-time mean-field stochastic \(H_2/H_\infty\) control, On optimal mean-field control problem of mean-field forward-backward stochastic system with jumps under partial information, A stochastic maximum principle for Markov chains of mean-field type, Stochastic neutral evolution equations on Hilbert spaces with partially observed relaxed control and their necessary conditions of optimality, Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance, Nonzero sum differential game of mean-field BSDEs with jumps under partial information, Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach, A nonhomogeneous mean-field linear-quadratic optimal control problem and application, Necessary conditions of optimality for some stochastic integrodifferential equations of neutral type on Hilbert spaces, Forward and backward mean-field stochastic partial differential equation and optimal control, Linear‐Quadratic Optimal Control Problems for Mean‐Field Stochastic Differential Equations with Jumps, Stochastic \(H_2/H_\infty\) control for discrete-time mean-field systems with Poisson jump, A non-exponential discounting time-inconsistent stochastic optimal control problem for jump-diffusion, On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures, The maximum principle for partially observed optimal control problems of mean-field FBSDEs, Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes, Maximum principle for near-optimality of mean-field FBSDEs, Mean-field-type games, Linear-quadratic stochastic leader-follower differential games for Markov jump-diffusion models, Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem, On mean-field partial information maximum principle of optimal control for stochastic systems with Lévy processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Linear-quadratic mean field games
• A maximum principle for SDEs of mean-field type
• A general stochastic maximum principle for SDEs of mean-field type
• Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
• Mean-field backward stochastic differential equations and related partial differential equations
• Mean-field backward stochastic differential equations: A limit approach
• Mean field games
• Maximum principle for stochastic differential games with partial information
• Conjugate convex functions in optimal stochastic control
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Stochastic maximum principle in the mean-field controls
• Forward-backward stochastic differential games and stochastic control under model uncertainty
• A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance
• A mean-field stochastic maximum principle via Malliavin calculus
• Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps
• A General Stochastic Maximum Principle for Optimal Control Problems
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
• Applied stochastic control of jump diffusions