Variational principle for stochastic singular control of mean-field Levy-forward-backward system driven by orthogonal Teugels martingales with application
| dc.contributor.author | Mokhtar Hafayed | |
| dc.contributor.author | Shahlar Meherrem | |
| dc.contributor.author | Deniz H. Gucoglu | |
| dc.contributor.author | Saban Eren | |
| dc.contributor.author | Hafayed, Mokhtar | |
| dc.contributor.author | Meherrem, Shahlar | |
| dc.contributor.author | Gucoglu, Deniz H. | |
| dc.contributor.author | Eren, Saban | |
| dc.date.accessioned | 2025-10-06T16:21:13Z | |
| dc.date.issued | 2017 | |
| dc.description.abstract | We consider stochastic singular control for mean-field forward-backward stochastic differential equations driven by orthogonal Teugels martingales associated with some Levy 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 Levy process of bounded variation. | |
| dc.description.sponsorship | Tubitak, Turkey [2221] | |
| dc.description.sponsorship | The authors would like to thank the anonymous referee for valuable comments, which led to a much better version of this article. This work was supported by Tubitak Grant 2221, Turkey. | |
| dc.identifier.doi | 10.1504/IJMIC.2017.085944 | |
| dc.identifier.issn | 1746-6172 | |
| dc.identifier.issn | 1746-6180 | |
| dc.identifier.scopus | 2-s2.0-85048706425 | |
| dc.identifier.uri | http://dx.doi.org/10.1504/IJMIC.2017.085944 | |
| dc.identifier.uri | https://gcris.yasar.edu.tr/handle/123456789/6758 | |
| dc.identifier.uri | https://doi.org/10.1504/IJMIC.2017.085944 | |
| dc.language.iso | English | |
| dc.publisher | INDERSCIENCE ENTERPRISES LTD | |
| dc.relation.ispartof | International Journal of Modelling, Identification and Control | |
| dc.rights | info:eu-repo/semantics/closedAccess | |
| dc.source | INTERNATIONAL JOURNAL OF MODELLING IDENTIFICATION AND CONTROL | |
| dc.subject | controlled forward-backward system, maximum principle, orthogonal Teugels martingales, Levy processes, singular control, mean-field stochastic system, partial information, gamma process | |
| dc.subject | MAXIMUM PRINCIPLE, DIFFERENTIAL-EQUATIONS, SUFFICIENT CONDITIONS, DIFFUSION, STATE, DELAY, JUMPS | |
| dc.subject | Orthogonal Teugels Martingales | |
| dc.subject | Mean-Field Stochastic System | |
| dc.subject | Levy Processes | |
| dc.subject | Controlled Forward-Backward System | |
| dc.subject | Partial Information | |
| dc.subject | Singular Control | |
| dc.subject | Gamma Process | |
| dc.subject | Maximum Principle | |
| dc.title | Variational principle for stochastic singular control of mean-field Levy-forward-backward system driven by orthogonal Teugels martingales with application | |
| dc.type | Article | |
| dspace.entity.type | Publication | |
| gdc.author.id | Meherrem, Shahlar/0000-0002-4255-4760 | |
| gdc.author.id | Hafayed, Mokhtar/0000-0002-8915-9530 | |
| gdc.author.scopusid | 36245200100 | |
| gdc.author.scopusid | 55646944800 | |
| gdc.author.scopusid | 57202412803 | |
| gdc.author.scopusid | 57202020084 | |
| gdc.author.wosid | Meherrem, Shahlar/G-6278-2018 | |
| gdc.author.wosid | Hafayed, Mokhtar/W-7150-2019 | |
| gdc.bip.impulseclass | C5 | |
| gdc.bip.influenceclass | C5 | |
| gdc.bip.popularityclass | C5 | |
| gdc.coar.type | text::journal::journal article | |
| gdc.collaboration.industrial | false | |
| gdc.description.department | ||
| gdc.description.departmenttemp | [Hafayed, Mokhtar] Biskra Univ, Lab Appl Math, POB 145, Biskra 07000, Algeria; [Meherrem, Shahlar; Gucoglu, Deniz H.; Eren, Saban] Yasar Univ, Fac Sci & Letters, Dept Math, Izmir, Turkey | |
| gdc.description.endpage | 113 | |
| gdc.description.issue | 2 | |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | |
| gdc.description.startpage | 97 | |
| gdc.description.volume | 28 | |
| gdc.description.woscitationindex | Emerging Sources Citation Index | |
| gdc.identifier.openalex | W2739381339 | |
| gdc.identifier.wos | WOS:000416627900001 | |
| gdc.index.type | WoS | |
| gdc.index.type | Scopus | |
| gdc.oaire.diamondjournal | false | |
| gdc.oaire.downloads | 0 | |
| gdc.oaire.impulse | 2.0 | |
| gdc.oaire.influence | 2.5113098E-9 | |
| gdc.oaire.isgreen | true | |
| gdc.oaire.popularity | 9.124495E-10 | |
| gdc.oaire.publicfunded | false | |
| gdc.oaire.sciencefields | 0101 mathematics | |
| gdc.oaire.sciencefields | 01 natural sciences | |
| gdc.oaire.views | 2 | |
| gdc.openalex.collaboration | International | |
| gdc.openalex.fwci | 0.6795 | |
| gdc.openalex.normalizedpercentile | 0.75 | |
| gdc.opencitations.count | 2 | |
| gdc.plumx.scopuscites | 3 | |
| gdc.scopus.citedcount | 3 | |
| gdc.virtual.author | Meherrem, Şahlar | |
| gdc.virtual.author | Eren, Şaban | |
| gdc.wos.citedcount | 3 | |
| oaire.citation.endPage | 113 | |
| oaire.citation.startPage | 97 | |
| person.identifier.orcid | Hafayed- Mokhtar/0000-0002-8915-9530, | |
| project.funder.name | Tubitak- Turkey [2221] | |
| publicationissue.issueNumber | 2 | |
| publicationvolume.volumeNumber | 28 | |
| relation.isAuthorOfPublication | bb9f1074-b350-4a00-bbcd-a8bd07738f09 | |
| relation.isAuthorOfPublication | 1a19e422-630a-43d9-b6c4-bf60c6649aef | |
| relation.isAuthorOfPublication.latestForDiscovery | bb9f1074-b350-4a00-bbcd-a8bd07738f09 | |
| relation.isOrgUnitOfPublication | ac5ddece-c76d-476d-ab30-e4d3029dee37 | |
| relation.isOrgUnitOfPublication.latestForDiscovery | ac5ddece-c76d-476d-ab30-e4d3029dee37 |