Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
695833 | Automatica | 2014 | 15 Pages |
Abstract
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 differential equation. Two sufficient maximum principles and one necessary maximum principle are established for the underlying system. As an application, a bicriteria mean–variance portfolio selection problem with delay is studied to demonstrate the effectiveness and potential of the proposed techniques. Under certain conditions, explicit expressions are provided for the efficient portfolio and the efficient frontier, which are as elegant as those in the classical mean–variance problem without delays.
Keywords
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Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Yang Shen, Qingxin Meng, Peng Shi,