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

DOI10.1007/S10957-017-1068-5MaRDI QIDQ1743531zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
• Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance
• Maximum principle for optimal control problems of forward-backward regime-switching system and applications
• 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 systems involving impulse controls

Cites work

• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• A General Stochastic Maximum Principle for Optimal Control Problems
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
• Adapted solution of a backward stochastic differential equation
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations and applications to optimal control
• Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
• Conjugate convex functions in optimal stochastic control
• Controlled Markov processes and viscosity solutions
• Maximum principle for forward-backward stochastic control system with random jumps and applications to finance
• Maximum principle for optimal control problems of forward-backward regime-switching system and applications
• Maximum principles for optimal control of forward-backward stochastic differential equations with jumps
• Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Quadratic risk minimization in a regime-switching model with portfolio constraints
• Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions
• Relationship between maximum principle and dynamic programming for stochastic recursive optimal control problems and applications
• Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions
• Stochastic Differential Utility
• Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
• Sufficient stochastic maximum principle in a regime-switching diffusion model

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
• Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem
• Stochastic maximum principle for optimal control of forward-backward stochastic pantograph systems with regime switching
• 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 a Markov regime-switching jump-diffusion model and its application to finance
• A stochastic maximum principle for backward control systems with random default time
• Maximum principle for optimal control problems of forward-backward regime-switching system and applications
• Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information
• 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

This page was built for publication: Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1743531)