A general stochastic maximum principle for a Markov regime switching jump-diffusion model of mean-field type
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Publication:3174750
DOI10.1137/17M112395XzbMATH Open1391.93302WikidataQ129520713 ScholiaQ129520713MaRDI QIDQ3174750FDOQ3174750
Zhongyang Sun, Jie Xiong, Xin Zhang
Publication date: 18 July 2018
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
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regime switchingstochastic maximum principlelinear quadratic control problemjump-diffusion mean-field BSDEmean-field type model
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- Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming
Cited In (27)
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- Maximum principle for mean-field SDEs under model uncertainty
- Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem
- A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching
- Linear-quadratic mean-field type Stackelberg differential games for stochastic jump-diffusion systems
- Finite and infinite horizon indefinite linear quadratic optimal control for discrete-time singular Markov jump systems
- Time-inconsistent stochastic linear-quadratic optimal control problem under non-Markovian regime-switching jump-diffusion model
- Mean field control and finite agent approximation for regime-switching jump diffusions
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
- Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system
- A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain
- Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions
- Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps
- Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems
- Stochastic maximum principle for weighted mean-field system
- Viscosity solutions for mean field optimal switching with a two-time-scale Markov chain
- The maximum principle for stochastic control problem with Markov chain in progressive structure
- Existence, uniqueness and exponential ergodicity under Lyapunov conditions for McKean-Vlasov SDEs with Markovian switching
- A general maximum principle for partially observed mean-field stochastic system with random jumps in progressive structure
- A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems
- Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model
- A general stochastic maximum principle for mean-field controls with regime switching
- Solvability of a class of mean-field BSDEs with quadratic growth
- 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
- Second-order necessary condition for partially observed stochastic system with random jumps
- Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system
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