Optimal Control of Predictive Mean-Field Equations and Applications to Finance (Q2801799)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Control of Predictive Mean-Field Equations and Applications to Finance |
scientific article |
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Optimal Control of Predictive Mean-Field Equations and Applications to Finance (English)
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22 April 2016
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optimal control
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stochastic differential equations
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maximum principle
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Brownian motion
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compensated Poisson random measure
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optimal portfolio
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insider influenced financial market
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predictive recurrent utility
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utility maximizing consumption rate
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