Fully coupled mean‐field FBSDEs with jumps and related optimal control problems

DOI10.1002/OCA.2677zbMath1469.93118arXiv1812.10254OpenAlexW3091868662MaRDI QIDQ5003493

Wenqiang Li, Hui Min

Publication date: 22 July 2021

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.10254

zbMATH Keywords

linear-quadratic problemstochastic maximum principlemonotonicity conditionsfully coupled forward-backward stochastic differential equationmean-variance portfolio problemmean-field backward stochastic differential equation with jumps

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (2)

A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach ⋮ Numerical schemes for fully coupled mean-field forward backward stochastic differential equations

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