Sufficient Stochastic Maximum Principle for the Optimal Control of Semi-Markov Modulated Jump-Diffusion with Application to Financial Optimization

DOI10.1080/07362994.2014.945038zbMath1302.93237arXiv1407.3256OpenAlexW2062458425MaRDI QIDQ2937458

Amogh Deshpande

Publication date: 9 January 2015

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.3256

zbMATH Keywords

dynamic programmingrisk-sensitive controlquadratic loss minimizationsemi-Markov modulated jump diffusionssufficient stochastic maximum principle

Mathematics Subject Classification ID

Related Items (2)

Dynamic programming for semi-Markov modulated SDEs ⋮ Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes

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• The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients
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