Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
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Shen, Y, Meng, Q and Shi, Peng (2014) Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance. Automatica, 50 (6). 1565 - 1579. ISSN 0005-1098
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| Additional Information | Footnote: The material in this paper was not presented at any conference. This paper was recommended for publication in revised form by Associate Editor Qing Zhang under the direction of Editor Berç Rüstem. |
| Item type | Article |
| URI | https://vuir.vu.edu.au/id/eprint/29954 |
| DOI | 10.1016/j.automatica.2014.03.021 |
| Official URL | http://www.sciencedirect.com/science/article/pii/S... |
| Subjects | Historical > FOR Classification > 0101 Pure Mathematics Historical > FOR Classification > 1502 Banking, Finance and Investment Current > Division/Research > College of Science and Engineering |
| Keywords | stochastic delay differential equation; SDDE; optimality; stochastic optimal control problems; optimal control |
| Citations in Scopus | 83 - View on Scopus |
| Download/View statistics | View download statistics for this item |
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