Concepedia

Mean-Field Maximum Principle for Optimal Control of Forward–Backward Stochastic Systems with Jumps and its Application to Mean-Variance Portfolio Problem

Mokhtar Hafayed, Moufida Tabet, Samira Boukaf

Communications in Mathematics and Statistics · 2015 · 14 citations · 28 references

References

28

Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework

Xun Yu Zhou, Duan Li · Applied Mathematics & Optimization · 2000 · 1.1K citations

Business, Finance, Financial Management +14

A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS

H. P. McKean · Proceedings of the National Academy of Sciences · 1966 · 864 citations · Full text

Engineering, Mathematics, Physics +11

Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations

Jiongmin Yong · SIAM Journal on Control and Optimization · 2013 · 341 citations · Full text

Natural Sciences, Mathematics, Differential Equations +16

A Maximum Principle for SDEs of Mean-Field Type

Daniel Andersson, Boualem Djehiche · Applied Mathematics & Optimization · 2010 · 335 citations

Engineering, Mathematics, Probability Theory +9

Mean-field backward stochastic differential equations and related partial differential equations

Rainer Buckdahn, Juan Li, Shigē Péng · Stochastic Processes and their Applications · 2009 · 334 citations

Engineering, Mathematics, Differential Equations +13