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 language | English |
|---|---|
| Pages (from-to) | 94 |
| Number of pages | 1 |
| Journal | Expo 2012 Higher Degree Research : book of abstracts |
| Publication status | Published - 2012 |
| Event | Higher Degree Research Expo (8th : 2012) - Sydney Duration: 12 Nov 2012 → 13 Nov 2012 |
Keywords
- Mean-field model
- Backward stochastic differential equations
- Poisson jumps
- Stochastic maximum principles
- Mean-variance portfolio selection