Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information (Q1686663): Difference between revisions

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scientific article

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

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instance of

scholarly article

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title

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

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author

Olivier Menoukeu Pamen

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published in

Journal of Optimization Theory and Applications

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publication date

15 December 2017

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full work available at URL

https://arxiv.org/abs/1403.2901

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zbMATH Keywords

forward-backward stochastic differential equations

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Malliavin calculus

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regime switching

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recursive utility maximization

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stochastic maximum principle

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MaRDI profile type

MaRDI publication profile

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cites work

Sufficient stochastic maximum principle in a regime-switching diffusion model

0 references

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

0 references

Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models

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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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Q4255599

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Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model

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Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions

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An Introductory Approach to Duality in Optimal Stochastic Control

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Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

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Applied stochastic control of jump diffusions

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A General Stochastic Maximum Principle for Optimal Control Problems

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A dynamic maximum principle for the optimization of recursive utilities under constraints.

0 references

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

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Backward stochastic differential equations and applications to optimal control

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A mean-field stochastic maximum principle via Malliavin calculus

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A General Maximum Principle for Anticipative Stochastic Control and Applications to Insider Trading

0 references

Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps

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Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

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Stochastic Differential Utility

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Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach

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Continuous-time stochastic control and optimization with financial applications

0 references

A stochastic differential game for optimal investment of an insurer with regime switching

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Q4323296

0 references

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

0 references

Existence, uniqueness and comparisons for BSDEs in general spaces

0 references

About the Pricing Equations in Finance

0 references

A Maximum Principle for Stochastic Control with Partial Information

0 references

The Malliavin Calculus and Related Topics

0 references

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

0 references

Q4235027

0 references

Financial Modelling with Jump Processes

0 references

On solutions of backward stochastic differential equations with jumps and applications

0 references

Q4742672

0 references

Risk-sensitive dynamic asset management

0 references

Risk-Sensitive and Robust Escape Criteria

0 references

Q3997540

0 references

A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications

0 references

Identifiers

zbMATH Open document ID

1376.93117

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Mathematics Subject Classification ID

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10.1007/S10957-017-1144-X

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Sitelinks

Mathematics(1 entry)

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+Quadratic Risk Minimization in a Regime-Switching Model with Portfolio Constraints
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+Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models
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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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+Q4255599
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@@ Property / cites work @@
+Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model
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+Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
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@@ Property / cites work @@
+An Introductory Approach to Duality in Optimal Stochastic Control
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@@ Property / cites work @@
+Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
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@@ Property / cites work @@
+Applied stochastic control of jump diffusions
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+Normal rank
@@ Property / cites work @@
+A General Stochastic Maximum Principle for Optimal Control Problems
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@@ Property / cites work @@
+A dynamic maximum principle for the optimization of recursive utilities under constraints.
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@@ Property / cites work @@
+Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps
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@@ Property / cites work @@
+Backward stochastic differential equations and applications to optimal control
+Normal rank
@@ Property / cites work @@
+A mean-field stochastic maximum principle via Malliavin calculus
+Normal rank
@@ Property / cites work @@
+A General Maximum Principle for Anticipative Stochastic Control and Applications to Insider Trading
+Normal rank
@@ Property / cites work @@
+Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps
+Normal rank
@@ Property / cites work @@
+Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
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@@ Property / cites work @@
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@@ Property / cites work @@
+Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach
+Normal rank
@@ Property / cites work @@
+Continuous-time stochastic control and optimization with financial applications
+Normal rank
@@ Property / cites work @@
+A stochastic differential game for optimal investment of an insurer with regime switching
+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 @@
+Existence, uniqueness and comparisons for BSDEs in general spaces
+Normal rank
@@ Property / cites work @@
+About the Pricing Equations in Finance
@@ Property / cites work: About the Pricing Equations in Finance / rank @@
+Normal rank
@@ Property / cites work @@
+A Maximum Principle for Stochastic Control with Partial Information
+Normal rank
@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
+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 @@
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+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+On solutions of backward stochastic differential equations with jumps and applications
+Normal rank
@@ Property / cites work @@
+Q4742672
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+Normal rank
@@ Property / cites work @@
+Risk-sensitive dynamic asset management
@@ Property / cites work: Risk-sensitive dynamic asset management / rank @@
+Normal rank
@@ Property / cites work @@
+Risk-Sensitive and Robust Escape Criteria
@@ Property / cites work: Risk-Sensitive and Robust Escape Criteria / rank @@
+Normal rank
@@ Property / cites work @@
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