Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem (Q2354571)
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scientific article; zbMATH DE number 6460100
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| English | Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem |
scientific article; zbMATH DE number 6460100 |
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Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem (English)
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20 July 2015
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mean-field forward-backward stochastic differential equation with jumps
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optimal stochastic control
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mean-field maximum principle
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mean-variance portfolio selection with recursive utility functional
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time-inconsistent control problem
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0.9041569232940674
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0.8850024938583374
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0.8834375739097595
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0.8829638957977295
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0.8813295960426331
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