A stochastic maximum principle in mean-field optimal control problems for jump diffusions (Q375182)
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scientific article; zbMATH DE number 6220521
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| English | A stochastic maximum principle in mean-field optimal control problems for jump diffusions |
scientific article; zbMATH DE number 6220521 |
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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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0.8878238201141357
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0.8831878900527954
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0.8552889823913574
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0.8547233939170837
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