Maximum Principle for Markov Regime-Switching Forward–Backward Stochastic Control System with Jumps and Relation to Dynamic Programming

Maximum Principle for Markov Regime-Switching Forward–Backward Stochastic Control System with... This paper presents a sufficient stochastic maximum principle for a stochastic optimal control problem of Markov regime-switching forward–backward stochastic differential equations with jumps. The relationship between the stochastic maximum principle and the dynamic programming principle in a Markovian case is also established. Finally, applications of the main results to a recursive utility portfolio optimization problem in a financial market are discussed. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Optimization Theory and Applications Springer Journals

Maximum Principle for Markov Regime-Switching Forward–Backward Stochastic Control System with Jumps and Relation to Dynamic Programming

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Publisher
Springer US
Copyright
Copyright © 2017 by Springer Science+Business Media New York
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Optimization; Theory of Computation; Applications of Mathematics; Engineering, general; Operations Research/Decision Theory
ISSN
0022-3239
eISSN
1573-2878
D.O.I.
10.1007/s10957-017-1068-5
Publisher site
See Article on Publisher Site

Abstract

This paper presents a sufficient stochastic maximum principle for a stochastic optimal control problem of Markov regime-switching forward–backward stochastic differential equations with jumps. The relationship between the stochastic maximum principle and the dynamic programming principle in a Markovian case is also established. Finally, applications of the main results to a recursive utility portfolio optimization problem in a financial market are discussed.

Journal

Journal of Optimization Theory and ApplicationsSpringer Journals

Published: Feb 6, 2017

References

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