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Mathematics > Optimization and Control

arXiv:1812.10254 (math)
[Submitted on 26 Dec 2018]

Title:Fully coupled mean-field FBSDEs with jumps and related optimal control problems

Authors:Wenqiang Li, Hui Min
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Abstract:This paper study a type of fully coupled mean-field forward-backward stochastic differential equations with jumps under the monotonicity condition, including the existence and the uniqueness of the solution of our equation as well as the continuity property of the solutions with respect to the parameters. Then we establish the stochastic maximum principle for the corresponding optimal control problems and give the applications to mean-variance portfolio problems and linear-quadratic problems, respectively.
Comments: 25 pages
Subjects: Optimization and Control (math.OC); Probability (math.PR)
Cite as: arXiv:1812.10254 [math.OC]
  (or arXiv:1812.10254v1 [math.OC] for this version)
  https://doi.org/10.48550/arXiv.1812.10254

Submission history

From: Wenqiang Li [view email]
[v1] Wed, 26 Dec 2018 07:30:10 UTC (28 KB)
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