Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
Files
(Submitted version)
Date
2014
Authors
Shen, Y.
Meng, Q.
Shi, P.
Editors
Advisors
Journal Title
Journal ISSN
Volume Title
Type:
Journal article
Citation
Automatica, 2014; 50(6):1565-1579
Statement of Responsibility
Yang Shen, Qingxin Meng, Peng Shi
Conference Name
Abstract
This paper investigates a stochastic optimal control problem with delay and of mean-field type, where the controlled state process is governed by a mean-field jump-diffusion stochastic delay differential equation. Two sufficient maximum principles and one necessary maximum principle are established for the underlying system. As an application, a bicriteria mean-variance portfolio selection problem with delay is studied to demonstrate the effectiveness and potential of the proposed techniques. Under certain conditions, explicit expressions are provided for the efficient portfolio and the efficient frontier, which are as elegant as those in the classical mean-variance problem without delays. © 2014 Elsevier Ltd. All rights reserved.
School/Discipline
Dissertation Note
Provenance
Description
Access Status
Rights
© 2014 Elsevier Ltd. All rights reserved.