Optimal Control of Predictive Mean-Field Equations and Applications to Finance

DOI10.1007/978-3-319-23425-0_12zbMath1341.49032arXiv1505.04921OpenAlexW2160824422MaRDI QIDQ2801799

Agnès Sulem, Bernt Øksendal

Publication date: 22 April 2016

Published in: Stochastics of Environmental and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.04921

zbMATH Keywords

optimal controlmaximum principleBrownian motionstochastic differential equationsoptimal portfoliocompensated Poisson random measureinsider influenced financial marketpredictive recurrent utilityutility maximizing consumption rate

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Random measures (60G57) Optimality conditions for problems involving randomness (49K45) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)

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Cites Work

• Infinite horizon optimal control of forward-backward stochastic differential equations with delay
• BSDEs with jumps, optimization and applications to dynamic risk measures
• Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
• Continuous Auctions and Insider Trading
• Stochastic Differential Utility