Stochastic Maximum Principle for Forward-Backward Regime Switching Jump Diffusion Systems and Applications to Finance

Chinese Annals of Mathematics Series B ◽

10.1007/s11401-018-0095-3 ◽

2018 ◽

Vol 39 (5) ◽

pp. 773-790

Author(s):

Siyu Lv ◽

Zhen Wu

Keyword(s):

Maximum Principle ◽

Regime Switching ◽

Jump Diffusion ◽

Stochastic Maximum Principle ◽

Diffusion Systems

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A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance

Journal of Optimization Theory and Applications ◽

10.1007/s10957-017-1159-3 ◽

2017 ◽

Vol 179 (2) ◽

pp. 696-721 ◽

Author(s):

Emel Savku ◽

Gerhard-Wilhelm Weber

Keyword(s):

Maximum Principle ◽

Diffusion Model ◽

Regime Switching ◽

Jump Diffusion ◽

Stochastic Maximum Principle ◽

Markov Regime Switching ◽

Jump Diffusion Model

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Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems

International Journal of Robust and Nonlinear Control ◽

10.1002/rnc.5358 ◽

2021 ◽

Vol 31 (6) ◽

pp. 2141-2167

Author(s):

Jun Moon

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Stochastic Optimal Control ◽

Regime Switching ◽

Jump Diffusion ◽

Markov Regime Switching ◽

Diffusion Systems ◽

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A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type

SIAM Journal on Control and Optimization ◽

10.1137/17m112395x ◽

2018 ◽

Vol 56 (4) ◽

pp. 2563-2592 ◽

Author(s):

Xin Zhang ◽

Zhongyang Sun ◽

Jie Xiong

Keyword(s):

Maximum Principle ◽

Diffusion Model ◽

Regime Switching ◽

Jump Diffusion ◽

Stochastic Maximum Principle ◽

Markov Regime Switching ◽

Jump Diffusion Model ◽

General Stochastic

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A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance

SIAM Journal on Control and Optimization ◽

10.1137/110839357 ◽

2012 ◽

Vol 50 (2) ◽

pp. 964-990 ◽

Author(s):

Xin Zhang ◽

Robert J. Elliott ◽

Tak Kuen Siu

Keyword(s):

Maximum Principle ◽

Diffusion Model ◽

Regime Switching ◽

Jump Diffusion ◽

Stochastic Maximum Principle ◽

Markov Regime Switching ◽

Jump Diffusion Model

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Optimal control of mean-field jump-diffusion systems with delay: A stochastic maximum principle approach

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2014.10.011 ◽

2015 ◽

Vol 279 ◽

pp. 13-30 ◽

Author(s):

Qingxin Meng ◽

Yang Shen

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Jump Diffusion ◽

Stochastic Maximum Principle ◽

Diffusion Systems

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Stochastic maximum principle of mean-field jump–diffusion systems with mixed delays

Systems & Control Letters ◽

10.1016/j.sysconle.2021.104874 ◽

2021 ◽

Vol 149 ◽

pp. 104874

Author(s):

Feng Zhang

Keyword(s):

Maximum Principle ◽

Jump Diffusion ◽

Stochastic Maximum Principle ◽

Mixed Delays ◽

Diffusion Systems

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Sufficient Stochastic Maximum Principle in a Regime-Switching Diffusion Model

Applied Mathematics & Optimization ◽

10.1007/s00245-010-9130-9 ◽

2011 ◽

Vol 64 (2) ◽

pp. 155-169 ◽

Author(s):

Catherine Donnelly

Keyword(s):

Maximum Principle ◽

Diffusion Model ◽

Regime Switching ◽

Stochastic Maximum Principle ◽

Switching Diffusion

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Stochastic maximum principle for partially observed forward-backward stochastic differential equations with jumps and regime switching

Science China Information Sciences ◽

10.1007/s11432-017-9267-0 ◽

2018 ◽

Vol 61 (7) ◽

Author(s):

Shuaiqi Zhang ◽

Jie Xiong ◽

Xiangdong Liu

Keyword(s):

Maximum Principle ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Regime Switching ◽

Backward Stochastic Differential Equations ◽

Stochastic Maximum Principle ◽

Partially Observed

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The Stochastic Maximum Principle for a Jump-Diffusion Mean-Field Model Involving Impulse Controls and Applications in Finance

Journal of Systems Science and Complexity ◽

10.1007/s11424-018-8095-7 ◽

2019 ◽

Vol 33 (1) ◽

pp. 26-42

Author(s):

Cailing Li ◽

Zaiming Liu ◽

Jinbiao Wu ◽

Xiang Huang

Keyword(s):

Maximum Principle ◽

Field Model ◽

Jump Diffusion ◽

Stochastic Maximum Principle ◽

Mean Field Model ◽

Impulse Controls

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Weak Necessary and Sufficient Stochastic Maximum Principle for Markovian Regime-Switching Diffusion Models

Applied Mathematics & Optimization ◽

10.1007/s00245-014-9252-6 ◽

2014 ◽

Vol 71 (1) ◽

pp. 39-77 ◽

Author(s):

Yusong Li ◽

Harry Zheng

Keyword(s):

Maximum Principle ◽

Regime Switching ◽

Diffusion Models ◽

Stochastic Maximum Principle ◽

Switching Diffusion ◽

Necessary And Sufficient ◽

Markovian Regime Switching ◽

Markovian Regime

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