Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
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Publication:458848
DOI10.1016/j.automatica.2014.03.021zbMath1296.93205MaRDI QIDQ458848
Qingxin Meng, Yang Shen, Peng Shi
Publication date: 8 October 2014
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2014.03.021
stochastic maximum principle; backward stochastic differential equation; stochastic delay differential equation; mean-field model; mean-variance portfolio selection
93E20: Optimal stochastic control
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
49K45: Optimality conditions for problems involving randomness
91G10: Portfolio theory
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