A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications
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Publication:2407985
forward-backward stochastic differential equationsMarkov regime-switchingoptimal investmentstochastic differential gamesstochastic maximum principle
Optimality conditions for problems involving randomness (49K45) Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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.
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Cited in
(13)- Forward-backward stochastic differential games and stochastic control under model uncertainty
- Optimal stochastic investment games under Markov regime switching market
- Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market
- The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system
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