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

DOI10.1007/S10957-017-1068-5zbMATH Open1408.91243OpenAlexW2586928944MaRDI QIDQ1743531FDOQ1743531

Authors: Zhongyang Sun, Xin Zhang, Junyi Guo 

Publication date: 13 April 2018

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

Full work available at URL: https://doi.org/10.1007/s10957-017-1068-5

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zbMATH Keywords

regime-switchingdynamic programmingstochastic maximum principleforward-backward stochastic differential equationsrecursive utility optimization

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Dynamic programming (90C39) Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cites Work

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Cited In (22)

• Dynamic programming principle for one kind of stochastic recursive optimal control problem with Markovian switching
• Sufficient stochastic maximum principle in a regime-switching diffusion model
• Near-optimal control problems for forward-backward regime-switching systems
• Stochastic maximum principle for optimal control of forward-backward stochastic pantograph systems with regime switching
• Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem
• A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching
• Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance
• The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system
• A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications
• Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls
• A general stochastic maximum principle for a Markov regime switching jump-diffusion model of mean-field type
• Relationship between maximum principle and dynamic programming for forward-backward stochastic differential game with Poisson jumps
• The maximum principle for stochastic control problem with Markov chain in progressive structure
• A stochastic maximum principle for backward control systems with random default time
• A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
• Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information
• Maximum principle for optimal control problems of forward-backward regime-switching system and applications
• A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications
• A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance
• Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems
• Partial information maximum principle for optimal control problem with regime switching in the conditional mean-field model
• A stochastic maximum principle for backward control systems with random default time

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