A stochastic maximum principle in mean-field optimal control problems for jump diffusions

DOI10.1016/J.AJMSC.2013.02.001zbMATH Open1273.93176OpenAlexW2083862548MaRDI QIDQ375182FDOQ375182

Authors: Farid Chighoub, Brahim Mezerdi 

Publication date: 28 October 2013

Published in: Arab Journal of Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S1319516613000054

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zbMATH Keywords

jump diffusionsstochastic differential equationstochastic maximum principlenecessary optimality conditionsPoisson random measureconvexity conditionsfinal cost functionsindependent Brownian motionmean-field control problemmean-variance portfolio selection problemstochastic systems with jumps

Mathematics Subject Classification ID

Portfolio theory (91G10) 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 (18)

• Risk-sensitive mean-field-type games with \(L^p\)-norm drifts
• The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
• On the LP formulation in measure spaces of optimal control problems for jump-diffusions
• Title not available (Why is that?)
• A general optimality conditions for stochastic control problems of jump diffusions
• Sufficient Stochastic Maximum Principle for the Optimal Control of Semi-Markov Modulated Jump-Diffusion with Application to Financial Optimization
• A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications
• The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps
• The relaxed stochastic maximum principle in singular optimal control of jump diffusions
• Stochastic maximum principle in the mean-field controls
• On the relaxed mean-field stochastic control problem
• Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach
• Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions
• The stochastic maximum principle for a jump-diffusion mean-field model involving impulse controls and applications in finance
• Mean-field, infinite horizon, optimal control of nonlinear stochastic delay system governed by Teugels martingales associated with Lévy processes
• A general stochastic maximum principle for mean-field controls with regime switching
• Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems
• Necessary and sufficient conditions in optimal control of mean-field stochastic differential equations with infinite horizon

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