A stochastic maximum principle in mean-field optimal control problems for jump diffusions

DOI10.1016/j.ajmsc.2013.02.001zbMath1273.93176OpenAlexW2083862548MaRDI QIDQ375182

Farid Chighoub, Brahim Mezerdi

Publication date: 28 October 2013

Published in: Arab Journal of Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S1319516613000054

zbMATH Keywords

stochastic differential equationnecessary optimality conditionsstochastic maximum principlePoisson random measurejump diffusionsconvexity conditionsfinal cost functionsindependent Brownian motionmean-field control problemmean-variance portfolio selection problemstochastic systems with jumps

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)

Related Items (4)

Risk-sensitive mean-field-type games with \(L^p\)-norm drifts ⋮ On the relaxed mean-field stochastic control problem ⋮ Mean-field, infinite horizon, optimal control of nonlinear stochastic delay system governed by Teugels martingales associated with Lévy processes ⋮ Necessary and sufficient conditions in optimal control of mean-field stochastic differential equations with infinite horizon

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