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 of Optimization Theory and Applications – Springer Journals
Published: Feb 6, 2017
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