Sufficient Stochastic Maximum Principle for the Optimal Control of Semi-Markov Modulated Jump-Diffusion with Application to Financial Optimization (Q2937458): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Sufficient Stochastic Maximum Principle for the Optimal Control of Semi-Markov Modulated Jump-Diffusion with Application to Financial Optimization	scientific article

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instance of

scholarly article

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title

Sufficient Stochastic Maximum Principle for the Optimal Control of Semi-Markov Modulated Jump-Diffusion with Application to Financial Optimization (English)

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author

Amogh Deshpande

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published in

Stochastic Analysis and Applications

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publication date

9 January 2015

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full work available at URL

https://arxiv.org/abs/1407.3256

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zbMATH Keywords

semi-Markov modulated jump diffusions

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sufficient stochastic maximum principle

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dynamic programming

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risk-sensitive control

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quadratic loss minimization

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MaRDI profile type

MaRDI publication profile

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cites work

The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients

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Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions

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Risk Minimizing Option Pricing in a Regime Switching Market

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Sufficient stochastic maximum principle in a regime-switching diffusion model

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Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance

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Risk Minimizing Option Pricing in a Semi-Markov Modulated Market

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Q3959169

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A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance

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Q3997540

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Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model

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Identifiers

zbMATH Open document ID

1302.93237

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DOI

10.1080/07362994.2014.945038

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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+The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients
+Normal rank
@@ Property / cites work @@
+Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
+Normal rank
@@ Property / cites work @@
+Risk Minimizing Option Pricing in a Regime Switching Market
+Normal rank
@@ Property / cites work @@
+Sufficient stochastic maximum principle in a regime-switching diffusion model
+Normal rank
@@ Property / cites work @@
+Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
+Normal rank
@@ Property / cites work @@
+Risk Minimizing Option Pricing in a Semi-Markov Modulated Market
+Normal rank
@@ Property / cites work @@
+Q3959169
@@ Property / cites work: Q3959169 / rank @@
+Normal rank
@@ Property / cites work @@
+A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance
+Normal rank
@@ Property / cites work @@
+Q3997540
@@ Property / cites work: Q3997540 / rank @@
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
+Normal rank