A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications

DOI10.1051/cocv/2017039zbMath1405.93234OpenAlexW2618581661MaRDI QIDQ4646819

Olivier Menoukeu Pamen, Isabelle Kemajou-Brown, Zhongyang Sun

Publication date: 21 December 2018

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/b9bd0cf1e248890f2d4b2a62104499dca771492a

zbMATH Keywords

stochastic maximum principlerisk-sensitive controljump-diffusionregime-switchingasset management

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45)

Related Items (7)

A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type ⋮ A BSDE approach for bond pricing under interest rate models with self-exciting jumps ⋮ Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information ⋮ Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations ⋮ Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem ⋮ Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems ⋮ The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system

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