Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information
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Publication:1686663
DOI10.1007/s10957-017-1144-xzbMath1376.93117arXiv1403.2901OpenAlexW2519973508MaRDI QIDQ1686663
Publication date: 15 December 2017
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1403.2901
Malliavin calculusregime switchingstochastic maximum principleforward-backward stochastic differential equationsrecursive utility maximization
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)
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