The Stochastic Maximum Principle for a Jump-Diffusion Mean-Field Model Involving Impulse Controls and Applications in Finance

Author:

Li Cailing,Liu Zaiming,Wu Jinbiao,Huang Xiang

Publisher

Springer Science and Business Media LLC

Subject

Information Systems,Computer Science (miscellaneous)

Reference17 articles.

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2. Cadenillas A and Zapatero F, Classical and impulse stochastic control of the exchange rates and reserves, Mathematical Finance, 2000, 10: 141–156.

3. Wu Z and Zhang F, Stochastic maximum principle for optimal control problems of forwardbackward delay systems involving impulse controls, Journal of Systems Science & Complexity, 2017, 30(2): 280–306.

4. Wu J, Wang W, and Peng Y, Optimal control of fully coupled forward-backward stochastic systems with delay and noisy memory, Proceedings of the 36th Chinese Control Conference, Dalian, China, 2017.

5. Hu Y, Liu Z, and Wu J, Optimal impulse control of a mean-reverting inventory with quadratic costs, Journal of Industral & Mangagement Optimization, 2017, 13: 1–16.

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