Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance (Q458848)
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scientific article; zbMATH DE number 6352395
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| English | Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance |
scientific article; zbMATH DE number 6352395 |
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Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance (English)
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8 October 2014
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stochastic maximum principle
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mean-field model
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stochastic delay differential equation
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backward stochastic differential equation
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mean-variance portfolio selection
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0.9050558805465698
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0.864190399646759
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0.8472501039505005
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0.8453333973884583
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