The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
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Publication:392462
DOI10.1016/j.na.2013.02.029zbMath1279.49015MaRDI QIDQ392462
Publication date: 14 January 2014
Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.na.2013.02.029
stochastic maximum principle; backward stochastic differential equation; jump-diffusion; mean-field model; mean-variance portfolio selection
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
34F05: Ordinary differential equations and systems with randomness
49K45: Optimality conditions for problems involving randomness
91G10: Portfolio theory
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