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

DOI10.1137/110839357zbMath1244.93180OpenAlexW1965542647MaRDI QIDQ2903513

Tak Kuen Siu, Xin Zhang, Robert J. Elliott

Publication date: 10 August 2012

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/6c90de717557883147207bcc8be3f69e0bc098b6

zbMATH Keywords

stochastic maximum principlestochastic optimal control problemcontinuous-time Markov regime-switching jump-diffusion

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)

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