A stochastic maximum principle in mean-field optimal control problems for jump diffusions

DOI10.1016/J.AJMSC.2013.02.001MaRDI QIDQ375182zbMATH OpenOpenAlexFDO

Authors Farid Chighoub, Brahim Mezerdi

Publication date 28 October 2013

Published in Arab Journal of Mathematical Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL http://www.sciencedirect.com/science/article/pii/S1319516613000054

zbMATH Keywords

convexity conditionsfinal cost functionsindependent Brownian motionjump diffusionsmean-field control problemmean-variance portfolio selection problemnecessary optimality conditionsPoisson random measurestochastic differential equationstochastic maximum principlestochastic systems with jumps

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

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Cited in

(18)

• Stochastic maximum principle in the mean-field controls
• Necessary and sufficient conditions in optimal control of mean-field stochastic differential equations with infinite horizon
• The stochastic maximum principle for a jump-diffusion mean-field model involving impulse controls and applications in finance
• A general stochastic maximum principle for mean-field controls with regime switching
• Mean-field, infinite horizon, optimal control of nonlinear stochastic delay system governed by Teugels martingales associated with Lévy processes
• Sufficient Stochastic Maximum Principle for the Optimal Control of Semi-Markov Modulated Jump-Diffusion with Application to Financial Optimization
• The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps
• The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
• A general optimality conditions for stochastic control problems of jump diffusions
• On the relaxed mean-field stochastic control problem
• scientific article; zbMATH DE number 4119068 (Why is no real title available?)
• Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach
• Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions
• Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems
• The relaxed stochastic maximum principle in singular optimal control of jump diffusions
• A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications
• On the LP formulation in measure spaces of optimal control problems for jump-diffusions
• Risk-sensitive mean-field-type games with L^p-norm drifts

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