Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem

DOI10.1007/s40304-015-0054-1zbMath1317.93270OpenAlexW893986244MaRDI QIDQ2354571

Mokhtar Hafayed, Moufida Tabet, Samira Boukaf

Publication date: 20 July 2015

Published in: Communications in Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40304-015-0054-1

zbMATH Keywords

optimal stochastic controltime-inconsistent control problemmean-field maximum principlemean-field forward-backward stochastic differential equation with jumpsmean-variance portfolio selection with recursive utility functional

Mathematics Subject Classification ID

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

Related Items (7)

Numerical methods for mean-field stochastic differential equations with jumps ⋮ An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation ⋮ Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps ⋮ A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes ⋮ 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 ⋮ Mean-field, infinite horizon, optimal control of nonlinear stochastic delay system governed by Teugels martingales associated with Lévy processes

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