Maximum Principle for Markov Regime-Switching Forward-Backward Stochastic Control System with Jumps and Relation to Dynamic Programming

被引：9

作者：

Sun, Zhongyang ^{[1
]}

Guo, Junyi ^{[2
]}

Zhang, Xin ^{[3
]}

机构：

[1] Sun Yat Sen Univ, Sch Math, Guangzhou 510275, Guangdong, Peoples R China

[2] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China

[3] Southeast Univ, Sch Math, Nanjing 210096, Jiangsu, Peoples R China

来源：

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 2018年 / 176卷 / 02期

基金：

中国国家自然科学基金;

关键词：

Stochastic maximum principle; Regime-switching; Forward-backward stochastic differential equations; Dynamic programming; Recursive utility optimization; DIFFERENTIAL-EQUATIONS; FINANCE; DIFFUSIONS; MODEL;

D O I：

10.1007/s10957-017-1068-5

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

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.

引用

页码：319 / 350

页数：32

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