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Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/302558
Description: 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 different ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/303287
Description: This paper discusses a mean-variance portfolio selection problem under a constant elasticity of variance model. A backward stochastic Riccati equation is first considered. Then we relate the solution ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/215316
Description: This paper establishes a necessary and sufficient stochastic maximum principle for a mean-field model with randomness described by Brownian motions and Poisson jumps. We also prove the existence and u ... More
Reviewed: Reviewed
Authors: Yang, Shen
Date: 2012
Language: eng
Resource Type: conference paper abstract
Identifier: http://hdl.handle.net/1959.14/204666
Description: The aims of this paper are to establish necessary and sufficient stochastic maximum principles for optimal control of a jump-diffusion mean-field system and to apply the principles to discuss an impor ... More
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