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

From MaRDI portal

Publication:2801799

Jump to:navigation, search

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)

Related Items

A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management ⋮ An asymmetric information non-zero sum differential game of mean-field backward stochastic differential equation with applications ⋮ Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application ⋮ Stochastic control of memory mean-field processes ⋮ Maximum principle for infinite horizon optimal control of mean-field backward stochastic systems with delay and noisy memory

Cites Work

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:2801799&oldid=15702461"