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

Latest revision as of 21:37, 14 July 2024

scientific article

Language	Label	Description	Also known as
English	Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information	scientific article

Statements

instance of

scholarly article

0 references

title

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

0 references

zbMATH Open document ID

1376.93117

0 references

DOI

10.1007/s10957-017-1144-x

0 references

author

Olivier Menoukeu Pamen

0 references

published in

Journal of Optimization Theory and Applications

0 references

publication date

15 December 2017

0 references

full work available at URL

https://arxiv.org/abs/1403.2901

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

forward-backward stochastic differential equations

0 references

Malliavin calculus

0 references

regime switching

0 references

recursive utility maximization

0 references

stochastic maximum principle

0 references

MaRDI profile type

MaRDI publication profile

0 references

0 references

0 references

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

0 references

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

0 references

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

0 references

Controlled Markov processes and viscosity solutions

0 references

Q4255599

0 references

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

0 references

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

0 references

An Introductory Approach to Duality in Optimal Stochastic Control

0 references

Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

0 references

Applied stochastic control of jump diffusions

0 references

A General Stochastic Maximum Principle for Optimal Control Problems

0 references

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

0 references

Backward stochastic differential equations and applications to optimal control

0 references

A mean-field stochastic maximum principle via Malliavin calculus

0 references

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

0 references

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

0 references

Stochastic Differential Utility

0 references

Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach

0 references

Continuous-time stochastic control and optimization with financial applications

0 references

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

0 references

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

Sitelinks

Mathematics(1 entry)

mardi Publication:1686663

@@ Property / arXiv ID @@
+.2901
@@ Property / arXiv ID: 1403.2901 / 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 @@
+Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models
+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 @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model
+Normal rank
@@ Property / cites work @@
+Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
+Normal rank
@@ Property / cites work @@
+An Introductory Approach to Duality in Optimal Stochastic Control
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
+Normal rank
@@ Property / cites work @@
+Applied stochastic control of jump diffusions
@@ Property / cites work: Applied stochastic control of jump diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+A General Stochastic Maximum Principle for Optimal Control Problems
+Normal rank
@@ Property / cites work @@
+A dynamic maximum principle for the optimization of recursive utilities under constraints.
+Normal rank
@@ Property / cites work @@
+Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps
+Normal rank
@@ 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
+Normal rank
@@ Property / cites work @@
+Stochastic Differential Utility
@@ Property / cites work: Stochastic Differential Utility / rank @@
+Normal rank
@@ 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 @@
+Q4235027
@@ Property / cites work: Q4235027 / rank @@
+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
@@ Property / cites work: Q4742672 / rank @@
+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 @@
+Q3997540
@@ Property / cites work: Q3997540 / rank @@
+Normal rank
@@ Property / cites work @@
+A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications
+Normal rank