A general stochastic maximum principle for a Markov regime switching jump-diffusion model of mean-field type
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Cited in
(31)- Time-inconsistent stochastic linear-quadratic optimal control problem under non-Markovian regime-switching jump-diffusion model
- Stochastic maximum principle for weighted mean-field system
- Maximum principle for mean-field SDEs under model uncertainty
- A general stochastic maximum principle for mean-field controls with regime switching
- A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
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- A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications
- Solvability of a class of mean-field BSDEs with quadratic growth
- A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching
- Second-order necessary condition for partially observed stochastic system with random jumps
- A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems
- Existence, uniqueness and exponential ergodicity under Lyapunov conditions for McKean-Vlasov SDEs with Markovian switching
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- A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain
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- A general maximum principle for partially observed mean-field stochastic system with random jumps in progressive structure
- Viscosity solutions for mean field optimal switching with a two-time-scale Markov chain
- Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model
- The maximum principle for stochastic control problem with Markov chain in progressive structure
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