Maximum principle for optimal control problems of forward-backward regime-switching system and applications
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Cites work
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
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Cited in
(24)- BSDEs with regime switching: weak convergence and applications
- Stochastic maximum principle for optimal control of forward-backward stochastic pantograph systems with regime switching
- A penalty function-based random search algorithm for optimal control of switched systems with stochastic constraints and its application in automobile test-driving with gear shifts
- Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls
- Stochastic maximum principle for recursive optimal control problems with varying terminal time
- Partial information maximum principle for optimal control problem with regime switching in the conditional mean-field model
- The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system
- Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system
- Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information
- Fully coupled forward-backward stochastic differential equations on Markov chains
- Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching
- Long term optimal investment with regime switching: inflation, information and short sales
- The stochastic maximum principle for relaxed control problem with regime-switching
- Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance
- A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching
- Near-optimal control problems for forward-backward regime-switching systems
- Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models
- Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming
- A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain
- Viscosity solutions for mean field optimal switching with a two-time-scale Markov chain
- A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications
- A general stochastic maximum principle for a Markov regime switching jump-diffusion model of mean-field type
- Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls
- The maximum principle for stochastic control problem with Markov chain in progressive structure
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