Fully coupled mean‐field FBSDEs with jumps and related optimal control problems
DOI10.1002/OCA.2677zbMath1469.93118arXiv1812.10254OpenAlexW3091868662MaRDI QIDQ5003493
Publication date: 22 July 2021
Published in: Optimal Control Applications and Methods (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1812.10254
linear-quadratic problemstochastic maximum principlemonotonicity conditionsfully coupled forward-backward stochastic differential equationmean-variance portfolio problemmean-field backward stochastic differential equation with jumps
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)
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