Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem
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Cites work
- scientific article; zbMATH DE number 3121490 (Why is no real title available?)
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Cited in
(19)- Numerical methods for mean-field stochastic differential equations with jumps
- On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application
- The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
- Maximum principle for forward-backward stochastic control system with random jumps and applications to finance
- Maximum principle for the optimal control problem of a forward backward SDE with jumps in the mean-field model
- A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes
- Mean-variance pre-commitment policies revisited via a mean-field technique
- Stochastic intervention control of mean-field jump system with noisy observation via L-derivatives with application to finance
- Optimal control of predictive mean-field equations and applications to finance
- A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach
- Stochastic maximum principle for delayed backward doubly stochastic control systems
- An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation
- A Global Optimality Principle for Fully Coupled Mean-field Control Systems
- A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps
- Mean-field, infinite horizon, optimal control of nonlinear stochastic delay system governed by Teugels martingales associated with Lévy processes
- Fully coupled mean-field FBSDEs with jumps and related optimal control problems
- A general maximum principle for forward-backward stochastic control systems of mean-field type
- Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps
- A stochastic maximum principle in mean-field optimal control problems for jump diffusions
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