A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance

DOI10.1007/s10957-017-1159-3zbMath1402.93269OpenAlexW2746348292MaRDI QIDQ1626520

Publication date: 27 November 2018

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-017-1159-3

zbMATH Keywords

regime switching stochastic delay equations stochastic maximum principle optimal consumption jump-diffusions anticipated backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45)

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