dc.date.accessioned | 2017-09-24T14:11:11Z | |
dc.date.available | 2017-09-24T14:11:11Z | |
dc.date.created | 2016-01-19T09:55:26Z | |
dc.date.issued | 2016 | |
dc.identifier.citation | Øksendal, Bernt Sulem, Agnès . Optimal control of predictive mean-field equations and applications to finance. Springer Proceedings in Mathematics & statistics. 2016, 138, 301-320 | |
dc.identifier.uri | http://hdl.handle.net/10852/58522 | |
dc.description.abstract | We study a coupled system of controlled stochastic differential equations (SDEs) driven by a Brownian motion and a compensated Poisson random measure, consisting of a forward SDE in the unknown process X(t) and a predictive mean-field backward SDE (BSDE) in the unknowns Y(t),Z(t),K(t,⋅). The driver of the BSDE at time t may depend not just upon the unknown processes Y(t),Z(t),K(t,⋅), but also on the predicted future value Y(t+δ), defined by the conditional expectation A(t):=E[Y(t+δ)|Ft]. We give a sufficient and a necessary maximum principle for the optimal control of such systems, and then we apply these results to the following two problems: (i) Optimal portfolio in a financial market with an insider influenced asset price process. (ii) Optimal consumption rate from a cash flow modeled as a geometric Itô-Lévy SDE, with respect to predictive recursive utility. | |
dc.language | EN | |
dc.rights | Attribution-NonCommercial 3.0 Unported | |
dc.rights.uri | https://creativecommons.org/licenses/by-nc/3.0/ | |
dc.title | Optimal control of predictive mean-field equations and applications to finance | |
dc.type | Journal article | |
dc.creator.author | Øksendal, Bernt | |
dc.creator.author | Sulem, Agnès | |
cristin.unitcode | 185,15,13,0 | |
cristin.unitname | Matematisk institutt | |
cristin.ispublished | true | |
cristin.qualitycode | 1 | |
dc.identifier.cristin | 1316753 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Springer Proceedings in Mathematics & statistics&rft.volume=138&rft.spage=301&rft.date=2016 | |
dc.identifier.jtitle | Springer Proceedings in Mathematics & statistics | |
dc.identifier.volume | 138 | |
dc.identifier.startpage | 301 | |
dc.identifier.endpage | 320 | |
dc.identifier.doi | http://dx.doi.org/10.1007/978-3-319-23425-0_12 | |
dc.identifier.urn | URN:NBN:no-61237 | |
dc.type.document | Tidsskriftartikkel | |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 2194-1009 | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/58522/4/978-3-319-23425-0%5B1%5D.pdf | |
dc.type.version | PublishedVersion | |