Optimal Control of Predictive Mean-Field Equations and Applications to Finance

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Publication:2801799

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DOI10.1007/978-3-319-23425-0_12zbMath1341.49032arXiv1505.04921OpenAlexW2160824422MaRDI QIDQ2801799

Agnès Sulem, Bernt Øksendal

Publication date: 22 April 2016

Published in: Stochastics of Environmental and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.04921

zbMATH Keywords

optimal control maximum principle Brownian motion stochastic differential equations optimal portfolio compensated Poisson random measure insider influenced financial market predictive recurrent utility utility maximizing consumption rate

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Random measures (60G57) Optimality conditions for problems involving randomness (49K45) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)

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Cites Work

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