The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system (Q4622808): Difference between revisions

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scientific article; zbMATH DE number 7024346

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English	The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system	scientific article; zbMATH DE number 7024346

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instance of

scholarly article

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title

The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system (English)

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author

Zhongyang Sun

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Olivier Menoukeu Pamen

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published in

Stochastic Analysis and Applications

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publication date

18 February 2019

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zbMATH Keywords

partial information

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risk-sensitive control

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regime-switching

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jump-diffusion

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stochastic maximum principle

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/07362994.2018.1465824

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cites work

Sufficient stochastic maximum principle in a regime-switching diffusion model

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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 maximum principle for Markov regime-switching forward-backward stochastic differential games and applications

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

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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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Stock Trading: An Optimal Selling Rule

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Option pricing and Esscher transform under regime switching

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On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy

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

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Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games

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Risk-sensitive dynamic asset management

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Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model

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Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model

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Risk-sensitive control with HARA utility

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Risk-sensitive linear/quadratic/gaussian control

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Q3997540

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A new risk-sensitive maximum principle

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A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications

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

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A Maximum Principle for Stochastic Control with Partial Information

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

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The Maximum Principle for Optimal Control of Diffusions with Partial Information

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General necessary conditions for partially observed optimal stochastic controls

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The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations

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General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance

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Maximum Principles for a Class of Partial Information Risk-Sensitive Optimal Controls

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Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

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A General Stochastic Maximum Principle for Optimal Control Problems

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Q4255599

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On optimal proportional reinsurance and investment in a Markovian regime-switching economy

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Risk-sensitive benchmarked asset management

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Identifiers

zbMATH Open document ID

1407.93434

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DOI

10.1080/07362994.2018.1465824

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4622808

@@ Property / cites work @@
+Sufficient stochastic maximum principle in a regime-switching diffusion model
+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 maximum principle for Markov regime-switching forward-backward stochastic differential games and applications
+Normal rank
@@ Property / cites work @@
+Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming
+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 @@
+Stock Trading: An Optimal Selling Rule
@@ Property / cites work: Stock Trading: An Optimal Selling Rule / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing and Esscher transform under regime switching
+Normal rank
@@ Property / cites work @@
+On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
+Normal rank
@@ Property / cites work @@
+Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
+Normal rank
@@ Property / cites work @@
+Risk-sensitive dynamic asset management
@@ Property / cites work: Risk-sensitive dynamic asset management / rank @@
+Normal rank
@@ Property / cites work @@
+Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model
+Normal rank
@@ Property / cites work @@
+Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
+Normal rank
@@ Property / cites work @@
+Risk-sensitive control with HARA utility
@@ Property / cites work: Risk-sensitive control with HARA utility / rank @@
+Normal rank
@@ Property / cites work @@
+Risk-sensitive linear/quadratic/gaussian control
@@ Property / cites work: Risk-sensitive linear/quadratic/gaussian control / rank @@
+Normal rank
@@ Property / cites work @@
+Q3997540
@@ Property / cites work: Q3997540 / rank @@
+Normal rank
@@ Property / cites work @@
+A new risk-sensitive maximum principle
@@ Property / cites work: A new risk-sensitive maximum principle / rank @@
+Normal rank
@@ Property / cites work @@
+A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications
+Normal rank
@@ Property / cites work @@
+A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications
+Normal rank
@@ Property / cites work @@
+A Maximum Principle for Stochastic Control with Partial Information
+Normal rank
@@ Property / cites work @@
+Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
+Normal rank
@@ Property / cites work @@
+The Maximum Principle for Optimal Control of Diffusions with Partial Information
+Normal rank
@@ Property / cites work @@
+General necessary conditions for partially observed optimal stochastic controls
+Normal rank
@@ Property / cites work @@
+The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance
+Normal rank
@@ Property / cites work @@
+Maximum Principles for a Class of Partial Information Risk-Sensitive Optimal Controls
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
+Normal rank
@@ Property / cites work @@
+A General Stochastic Maximum Principle for Optimal Control Problems
+Normal rank
@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank
@@ Property / cites work @@
+On optimal proportional reinsurance and investment in a Markovian regime-switching economy
+Normal rank
@@ Property / cites work @@
+Risk-sensitive benchmarked asset management
@@ Property / cites work: Risk-sensitive benchmarked asset management / rank @@
+Normal rank