Abstract
This paper establishes a necessary and sufficient stochastic maximum principle for a mean-field model with randomness described by Brownian motions and Poisson jumps. We also prove the existence and uniqueness of the solution to a jump-diffusion mean-field backward stochastic differential equation. A new version of the sufficient stochastic maximum principle, which only requires the terminal cost is convex in an expected sense, is applied to solve a bicriteria mean-variance portfolio selection problem.
Original language | English |
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Pages (from-to) | 58-73 |
Number of pages | 16 |
Journal | Nonlinear Analysis |
Volume | 86 |
DOIs | |
Publication status | Published - 2013 |