Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance

DOI10.1016/j.automatica.2014.03.021zbMath1296.93205OpenAlexW1993308628MaRDI QIDQ458848

Qingxin Meng, Yang Shen, Peng Shi

Publication date: 8 October 2014

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2014.03.021

zbMATH Keywords

stochastic maximum principlebackward stochastic differential equationstochastic delay differential equationmean-field modelmean-variance portfolio selection

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)

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