Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming (Q1743531): Difference between revisions

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English	Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming	scientific article

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scholarly article

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title

Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming (English)

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Journal of Optimization Theory and Applications

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publication date

13 April 2018

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zbMATH Keywords

stochastic maximum principle

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regime-switching

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forward-backward stochastic differential equations

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dynamic programming

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recursive utility optimization

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10957-017-1068-5

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cites work

Sufficient stochastic maximum principle in a regime-switching diffusion model

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Quadratic Risk Minimization in a Regime-Switching Model with Portfolio Constraints

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Maximum principle for optimal control problems of forward-backward regime-switching system and applications

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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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Controlled Markov processes and viscosity solutions

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A General Stochastic Maximum Principle for Optimal Control Problems

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Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

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

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Q4255599

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Conjugate convex functions in optimal stochastic control

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Adapted solution of a backward stochastic differential equation

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Stochastic Differential Utility

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Backward Stochastic Differential Equations in Finance

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Backward stochastic differential equations and applications to optimal control

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Maximum principle for forward-backward stochastic control system with random jumps and applications to finance

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Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps

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Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information

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A Generalized dynamic programming principle and hamilton-jacobi-bellman equation

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Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations

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Relationship between maximum principle and dynamic programming for stochastic recursive optimal control problems and applications

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Q4323296

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

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Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions

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Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions

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Q4004325

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Identifiers

zbMATH Open document ID

1408.91243

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DOI

10.1007/s10957-017-1068-5

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1743531

@@ Property / author @@
-Jun-Yi Guo
@@ Property / author: Jun-Yi Guo / rank @@
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@@ Property / author @@
+Jun-Yi Guo
@@ Property / author: Jun-Yi Guo / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10957-017-1068-5
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@@ Property / OpenAlex ID @@
+W2586928944
@@ Property / OpenAlex ID: W2586928944 / rank @@
+Normal rank
@@ Property / cites work @@
+Sufficient stochastic maximum principle in a regime-switching diffusion model
+Normal rank
@@ Property / cites work @@
+Quadratic Risk Minimization in a Regime-Switching Model with Portfolio Constraints
+Normal rank
@@ Property / cites work @@
+Maximum principle for optimal control problems of forward-backward regime-switching system and applications
+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 @@
+Controlled Markov processes and viscosity solutions
+Normal rank
@@ Property / cites work @@
+A General Stochastic Maximum Principle for Optimal Control Problems
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
+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 @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank
@@ Property / cites work @@
+Conjugate convex functions in optimal stochastic control
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Stochastic Differential Utility
@@ Property / cites work: Stochastic Differential Utility / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and applications to optimal control
+Normal rank
@@ Property / cites work @@
+Maximum principle for forward-backward stochastic control system with random jumps and applications to finance
+Normal rank
@@ Property / cites work @@
+Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps
+Normal rank
@@ Property / cites work @@
+Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information
+Normal rank
@@ Property / cites work @@
+A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
+Normal rank
@@ Property / cites work @@
+Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
+Normal rank
@@ Property / cites work @@
+Relationship between maximum principle and dynamic programming for stochastic recursive optimal control problems and applications
+Normal rank
@@ Property / cites work @@
+Q4323296
@@ Property / cites work: Q4323296 / rank @@
+Normal rank
@@ Property / cites work @@
+Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
+Normal rank
@@ Property / cites work @@
+Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions
+Normal rank
@@ Property / cites work @@
+Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank