The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system
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Cites work
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- A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications
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- A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications
- A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
- General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance
- General necessary conditions for partially observed optimal stochastic controls
- scientific article; zbMATH DE number 48691 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- Jump-diffusion risk-sensitive asset management I: Diffusion factor model
- Jump-diffusion risk-sensitive asset management. II: Jump-diffusion factor model
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
- Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming
- Maximum principle for optimal control problems of forward-backward regime-switching system and applications
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- Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- On optimal proportional reinsurance and investment in a Markovian regime-switching economy
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- Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
- Option pricing and Esscher transform under regime switching
- Risk-sensitive benchmarked asset management
- Risk-sensitive control with HARA utility
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- The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
Cited in
(8)- General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance
- Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem
- A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications
- Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type
- Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations
- Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems
- A general maximum principle for partially observed mean-field stochastic system with random jumps in progressive structure
- A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain
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