Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming

DOI10.1007/s10957-017-1068-5zbMath1408.91243OpenAlexW2586928944MaRDI QIDQ1743531

Zhongyang Sun, Xin Zhang, Jun-Yi Guo

Publication date: 13 April 2018

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-017-1068-5

zbMATH Keywords

dynamic programmingstochastic maximum principleforward-backward stochastic differential equationsregime-switchingrecursive utility optimization

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10) Applications of continuous-time Markov processes on discrete state spaces (60J28)

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