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

DOI10.1007/S40304-015-0054-1zbMATH Open1317.93270OpenAlexW893986244MaRDI QIDQ2354571FDOQ2354571

Authors: 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

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

Cites Work

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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
• Maximum principle for the optimal control problem of a forward backward SDE with jumps in the mean-field model
• 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
• 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
• A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach
• Optimal control of predictive mean-field equations and applications to finance
• 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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