Solvability for indefinite mean‐field stochastic linear quadratic optimal control with random jumps and its applications

DOI10.1002/OCA.2659zbMath1469.93123OpenAlexW3049742645MaRDI QIDQ5003593

Xueqin Li, Chao Tang, Tian-min Huang

Publication date: 22 July 2021

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

Full work available at URL: https://doi.org/10.1002/oca.2659

zbMATH Keywords

optimal controlstochastic differential equationRiccati equationmean-fieldoptimal portfolio selectionopen-loop and closed-loop solvability

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Portfolio theory (91G10)

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