A Stochastic maximum principle for mean-field models with jumps and its application to finance

Shen Yang

Research output: Contribution to journalMeeting abstract

Abstract

The aims of this paper are to establish necessary and sufficient stochastic maximum principles for optimal control of a jump-diffusion mean-field system and to apply the principles to discuss an important problem in mathematical finance, namely, the mean-variance portfolio selection problem.
Original languageEnglish
Pages (from-to)94
Number of pages1
JournalExpo 2012 Higher Degree Research : book of abstracts
Publication statusPublished - 2012
EventHigher Degree Research Expo (8th : 2012) - Sydney
Duration: 12 Nov 201213 Nov 2012

Keywords

  • Mean-field model
  • Backward stochastic differential equations
  • Poisson jumps
  • Stochastic maximum principles
  • Mean-variance portfolio selection

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