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

DOI10.1007/s00186-017-0574-4zbMath1377.93178arXiv1403.2900OpenAlexW2575679751WikidataQ59522317 ScholiaQ59522317MaRDI QIDQ2407985

Romuald Hervé Momeya, Olivier Menoukeu Pamen

Publication date: 9 October 2017

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

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

zbMATH Keywords

stochastic maximum principleforward-backward stochastic differential equationsstochastic differential gamesoptimal investmentMarkov regime-switching

Mathematics Subject Classification ID

Related Items (4)

Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market ⋮ Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems ⋮ 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

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