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

DOI10.1016/J.AJMSC.2013.02.001MaRDI QIDQ375182zbMATH OpenOpenAlexFDO

Authors Farid Chighoub, Brahim Mezerdi

Publication date 28 October 2013

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

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

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)

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Cited in

(18)

• Mean-field, infinite horizon, optimal control of nonlinear stochastic delay system governed by Teugels martingales associated with Lévy processes
• Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions
• Stochastic maximum principle in the mean-field controls
• A general stochastic maximum principle for mean-field controls with regime switching
• A general optimality conditions for stochastic control problems of jump diffusions
• On the LP formulation in measure spaces of optimal control problems for jump-diffusions
• The stochastic maximum principle for a jump-diffusion mean-field model involving impulse controls and applications in finance
• The relaxed stochastic maximum principle in singular optimal control of jump diffusions
• Risk-sensitive mean-field-type games with \(L^p\)-norm drifts
• The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps
• Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems
• A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications
• Sufficient Stochastic Maximum Principle for the Optimal Control of Semi-Markov Modulated Jump-Diffusion with Application to Financial Optimization
• The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
• On the relaxed mean-field stochastic control problem
• Necessary and sufficient conditions in optimal control of mean-field stochastic differential equations with infinite horizon
• Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach
• scientific article; zbMATH DE number 4119068 (Why is no real title available?)

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