A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching (Q5041366): Difference between revisions

Latest revision as of 15:42, 30 December 2024

scientific article; zbMATH DE number 7601271

Language	Label	Description	Also known as
English	A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching	scientific article; zbMATH DE number 7601271

Statements

instance of

scholarly article

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title

A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching (English)

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ESAIM: Control, Optimisation and Calculus of Variations

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publication date

13 October 2022

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zbMATH Keywords

maximum principle

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Markov chain

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regime-switching

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spike variation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1051/cocv/2022054

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cites work

Probability and Stochastics

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Solutions of Backward Stochastic Differential Equations on Markov Chains

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Sufficient stochastic maximum principle in a regime-switching diffusion model

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Q4274285

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Brownian Motion, Martingales, and Stochastic Calculus

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Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance

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A General Stochastic Maximum Principle for Optimal Control Problems

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The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps

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Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

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

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Stock Trading: An Optimal Selling Rule

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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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A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type

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Identifiers

zbMATH Open document ID

1503.93051

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5041366

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+Probability and Stochastics
@@ Property / cites work: Probability and Stochastics / rank @@
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@@ Property / cites work @@
+Solutions of Backward Stochastic Differential Equations on Markov Chains
+Normal rank
@@ Property / cites work @@
+Sufficient stochastic maximum principle in a regime-switching diffusion model
+Normal rank
@@ Property / cites work @@
+Q4274285
@@ Property / cites work: Q4274285 / rank @@
+Normal rank
@@ Property / cites work @@
+Brownian Motion, Martingales, and Stochastic Calculus
+Normal rank
@@ Property / cites work @@
+Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance
+Normal rank
@@ Property / cites work @@
+A General Stochastic Maximum Principle for Optimal Control Problems
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@@ Property / cites work @@
+The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
+Normal rank
@@ Property / cites work @@
+Maximum principle for optimal control problems of forward-backward regime-switching system and applications
+Normal rank
@@ Property / cites work @@
+Stock Trading: An Optimal Selling Rule
@@ Property / cites work: Stock Trading: An Optimal Selling Rule / 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 @@
+A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type
+Normal rank
@@ Property / DOI @@
+.1051/COCV/2022054
@@ Property / DOI: 10.1051/COCV/2022054 / rank @@
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