Czasopismo
Tytuł artykułu
Autorzy
Warianty tytułu
Języki publikacji
Abstrakty
We consider a financial market with memory effects in which wealth processes are driven by mean-field stochastic Volterra equations. In this financial market, the classical dynamic programming method can not be used to study the optimal investment problem, because the solution of mean-field stochastic Volterra equation is not a Markov process. In this paper, a new method through Malliavin calculus introduced in [1], can be used to obtain the optimal investment in a Volterra type financial market. We show a sufficient and necessary condition for the optimal investment in this financial market with memory by mean-field stochastic maximum principle.
Kategorie tematyczne
Wydawca
Czasopismo
Rocznik
Tom
Numer
Strony
286-299
Opis fizyczny
Daty
wydano
2016-01-01
otrzymano
2015-09-08
zaakceptowano
2015-12-28
online
2016-05-19
Twórcy
autor
- School of Mathematics and Quantitative Economics, Shandong University of Finance and Economics, Jinan,
autor
- School of Finance, Shandong University of Finance and Economics, Jinan,
autor
- School of Mathematics and Quantitative Economics, Shandong University of Finance and Economics, Jinan 250002,, gf_zong@126.com
Bibliografia
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.doi-10_1515_math-2016-0027