A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications
2018 ◽
Vol 24
(3)
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pp. 985-1013
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Keyword(s):
In this paper, we derive a general stochastic maximum principle for a risk-sensitive type optimal control problem of Markov regime-switching jump-diffusion model. The results are obtained via a logarithmic transformation and the relationship between adjoint variables and the value function. We apply the results to study both a linear-quadratic optimal control problem and a risk-sensitive benchmarked asset management problem for Markov regime-switching models. In the latter case, the optimal control is of feedback form and is given in terms of solutions to a Markov regime-switching Riccatti equation and an ordinary Markov regime-switching differential equation.
2021 ◽
Vol 31
(6)
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pp. 2141-2167
2017 ◽
Vol 179
(2)
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pp. 696-721
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2012 ◽
Vol 30
(6)
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pp. 997-1018
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2018 ◽
Vol 56
(4)
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pp. 2563-2592
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2012 ◽
Vol 50
(2)
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pp. 964-990
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Keyword(s):
2014 ◽
Vol 29
(1)
◽
pp. 67-85
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2019 ◽
Vol 25
(1)
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pp. 1
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