Maximum principle for mean-field SDEs under model uncertainty (Q6043155)

scientific article; zbMATH DE number 7682212

Language	Label	Description	Also known as
English	Maximum principle for mean-field SDEs under model uncertainty	scientific article; zbMATH DE number 7682212

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instance of

scholarly article

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title

Maximum principle for mean-field SDEs under model uncertainty (English)

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published in

Applied Mathematics and Optimization

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publication date

4 May 2023

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zbMATH Keywords

stochastic maximum principle

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mean-field SDE

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model uncertainty

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mean-variance portfolio selection

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s00245-023-09970-8

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cites work

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Stochastic Maximum Principle for Stochastic Recursive Optimal Control Problem Under Volatility Ambiguity

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Maximum Principle for Stochastic Recursive Optimal Control Problem under Model Uncertainty

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Identifiers

zbMATH Open document ID

1514.93062

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DOI

10.1007/s00245-023-09970-8

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6043155