The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system
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Publication:4622808
DOI10.1080/07362994.2018.1465824zbMath1407.93434OpenAlexW2804575532MaRDI QIDQ4622808
Olivier Menoukeu Pamen, Zhongyang Sun
Publication date: 18 February 2019
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2018.1465824
Related Items (5)
Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations ⋮ Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem ⋮ Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems ⋮ A general maximum principle for partially observed mean-field stochastic system with random jumps in progressive structure ⋮ A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain
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