Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance

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

zbMATH Keywords

stochastic maximum principle; backward stochastic differential equation; stochastic delay differential equation; mean-field model; mean-variance portfolio selection

Mathematics Subject Classification ID

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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