The Stochastic Maximum Principle for a Jump-Diffusion Mean-Field Model Involving Impulse Controls and Applications in Finance

The Stochastic Maximum Principle for a Jump-Diffusion Mean-Field Model Involving Impulse Controls and Applications in Finance

This paper establishes a stochastic maximum principle for a stochastic control of mean-field model which is governed by a Lévy process involving continuous and impulse control. The authors also show the existence and uniqueness of the solution to a jump-diffusion mean-field stochastic differential e...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Journal of systems science and complexity 2020-02, Vol.33 (1), p.26-42
Hauptverfasser: Li, Cailing, Liu, Zaiming, Wu, Jinbiao, Huang, Xiang
Format: Artikel
Sprache:eng
Schlagworte:
Complex Systems
Control
Differential equations
Mathematics
Mathematics and Statistics
Mathematics of Computing
Mathematics, Interdisciplinary Applications
Maximum principle
Operations Research/Decision Theory
Optimal control
Physical Sciences
Science & Technology
Statistics
Stochastic processes
Systems Theory
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:This paper establishes a stochastic maximum principle for a stochastic control of mean-field model which is governed by a Lévy process involving continuous and impulse control. The authors also show the existence and uniqueness of the solution to a jump-diffusion mean-field stochastic differential equation involving impulse control. As for its application, a mean-variance portfolio selection problem has been solved.
ISSN:1009-6124
1559-7067
DOI:10.1007/s11424-018-8095-7