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

被引：5

作者：

Li, Cailing ^{[1
]}

Liu, Zaiming ^{[1
]}

Wu, Jinbiao ^{[1
]}

Huang, Xiang ^{[2
]}

机构：

[1] Cent South Univ, Sch Math & Stat, Changsha 410083, Peoples R China

[2] Agr Bank China, Ctr Res & Dev, Beijing 100161, Peoples R China

来源：

JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY | 2020年 / 33卷 / 01期

关键词：

Impulse control; jump-diffusion; Markowitz's mean-variance model; stochastic maximum principle;

D O I：

10.1007/s11424-018-8095-7

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper establishes a stochastic maximum principle for a stochastic control of mean-field model which is governed by a Levy 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.

引用

页码：26 / 42

页数：17

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