The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem (Q392462)
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scientific article; zbMATH DE number 6244962
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem |
scientific article; zbMATH DE number 6244962 |
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The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem (English)
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14 January 2014
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mean-field model
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stochastic maximum principle
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jump-diffusion
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backward stochastic differential equation
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mean-variance portfolio selection
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