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A stochastic maximum principle for Markov chains of mean-field type

Choutri, Salah Eddine; Hamidou, Tembine - In: Games 9 (2018) 4/84, pp. 1-24

We derive sufficient and necessary optimality conditions in terms of a stochastic maximum principle (SMP) for controls associated with cost functionals of mean-field type, under dynamics driven by a class of Markov chains of mean-field type which are pure jump processes obtained as solutions of...

Persistent link: https://www.econbiz.de/10011993336

Future expectations modeling, random coefficient forward-backward stochastic differential equations, and stochastic viscosity solutions

Kartala, Xanthi-Isidora; Englezos, Nikolaos; … - In: Mathematics of operations research 45 (2020) 2, pp. 403-433

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Nonlinear reserving in life insurance : aggregation and mean-field approximation

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Fast mean-reversion asymptotics for large portfolios of stochastic volatility models

Hambly, Ben; Kolliopoulos, Nikolaos - In: Finance and stochastics 24 (2020) 3, pp. 757-794

Persistent link: https://www.econbiz.de/10012518096

A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction

DaiPra, Paolo; Pigato, Paolo - 2025

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Optimal portfolio allocation of commodity related assets using a controlled forward-backward algorithm

Ludwig, Stephan Ernst - 2013

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Optimal investment-reinsurance with delay for mean-variance insurers : a maximum principle approach

Shen, Yang; Zeng, Yan - In: Insurance / Mathematics & economics 57 (2014), pp. 1-12

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Optimal investment, consumption and proportional reinsurance under model uncertainty

Peng, Xingchun; Chen, Fenge; Hu, Yijun - In: Insurance / Mathematics & economics 59 (2014), pp. 222-234

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A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications

Menoukeu-Pamen, Olivier; Momeya, Romuald Hervé - In: Mathematical methods of operations research 85 (2017) 3, pp. 349-388

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Numerical methods in financial and actuarial applications : a stochastic maximum principle approach

Di Giacinto, Marina - In: Journal of mathematical finance 8 (2018) 2, pp. 283-301

Persistent link: https://www.econbiz.de/10011874735