The stochastic maximum principle for a jump-diffusion mean-field model involving impulse controls and applications in finance

DOI10.1007/s11424-018-8095-7zbMath1437.93141OpenAlexW2910730446WikidataQ128607612 ScholiaQ128607612MaRDI QIDQ2179644

Xiang Huang, Cailing Li, Zai-Ming Liu, Jin-biao Wu

Publication date: 13 May 2020

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-018-8095-7

zbMATH Keywords

stochastic maximum principleimpulse controljump-diffusionMarkowitz's mean-variance model

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Impulsive control/observation systems (93C27)

Related Items (3)

Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information ⋮ Stock efficiency evaluation based on multiple risk measures: a DEA-like envelopment approach ⋮ Impulse control of conditional McKean-Vlasov jump diffusions

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