A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications

DOI10.1007/S00186-017-0574-4zbMATH Open1377.93178arXiv1403.2900OpenAlexW2575679751WikidataQ59522317 ScholiaQ59522317MaRDI QIDQ2407985FDOQ2407985

Authors: Romuald Hervé Momeya, Olivier Menoukeu-Pamen 

Publication date: 9 October 2017

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Abstract: In this paper, we present an optimal control problem for stochastic differential games under Markov regime-switching forward-backward stochastic differential equations with jumps and partial information. First, we prove a sufficient maximum principle for non zero-sum stochastic differential game problems and obtain equilibrium point for such games. Second, we prove an equivalent maximum principle for non zero-sum stochastic differential games. The zero-sum stochastic differential games equivalent maximum principle is then obtained as a corollary. We apply the obtained results to study a problem of robust utility maximization under penalty entropy. We also apply the result to find optimal investment of an insurance firm under model uncertainty.

Full work available at URL: https://arxiv.org/abs/1403.2900

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zbMATH Keywords

stochastic differential gamesstochastic maximum principleMarkov regime-switchingoptimal investmentforward-backward stochastic differential equations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cited In (8)

• Risk-based optimal portfolio of an insurance firm with regime switching and noisy memory
• Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market
• Stochastic differential games with controlled regime-switching
• Optimal control of forward-backward stochastic jump-diffusion differential systems with observation noises: stochastic maximum principle
• 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 differential games of forward-backward stochastic systems with applications
• Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems

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