Variational principle for stochastic singular control of mean-field Lévy-forward-backward system driven by orthogonal Teugels martingales with application
by Mokhtar Hafayed; Shahlar Meherrem; Deniz H. Gucoglu; Saban Eren
International Journal of Modelling, Identification and Control (IJMIC), Vol. 28, No. 2, 2017

Abstract: We consider stochastic singular control for mean-field forward-backward stochastic differential equations, driven by orthogonal Teugels martingales associated with some Lévy processes having moments of all orders and an independent Brownian motion. Under partial information, necessary and sufficient conditions for optimality in the form of maximum principle for this mean-field system are established by means of convex variation methods and duality techniques. As an illustration, this paper studies a partial information mean-variance portfolio selection problem driven by orthogonal Teugels martingales associated with gamma process as Lévy process of bounded variation.

Online publication date: Fri, 18-Aug-2017

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