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The maximum principle for a jump-diffusion mean-field model and its application to the mean–variance problem
16 references·7 citing·34 second hop
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this work references cited by second hop

References

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  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2005Applied Stochastic Control of Jump Diffusions883 cited
  • 1990A General Stochastic Maximum Principle for Optimal Control Problems800 cited
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  • 2007Applied Stochastic Control of Jump Diffusions598 cited
  • 2010Mean Field Games and Applications589 cited
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  • 1983STOCHASTIC CALCULUS AND APPLICATIONS480 cited
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  • 2011A General Stochastic Maximum Principle for SDEs of Mean-field Type281 cited

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1982
Lectures on stochastic control
249 cited

Cited by

  • 2018A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type61 cited
  • 2014Optimal control of mean-field jump-diffusion systems with delay: A stochastic maximum principle approach56 cited
  • 2015Risk-sensitive mean-field-type games with Lp -norm drifts46 cited
  • 2017Mean-field-type games45 cited
  • 2015On Mean-Field Partial Information Maximum Principle of Optimal Control for Stochastic Systems with Lévy Processes31 cited
  • 2018Infinite horizon optimal control of mean-field forward–backward delayed systems with Poisson jumps30 cited
  • 2018Linear‐Quadratic Optimal Control Problems for Mean‐Field Stochastic Differential Equations with Jumps29 cited