A STOCHASTIC MAXIMUM PRINCIPLE FOR A MARKOV REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION TO FINANCE

被引：78

作者：

Zhang, Xin ^{[1
,2
]}

Elliott, Robert J. ^{[3
,4
]}

Siu, Tak Kuen ^{[5
,6
]}

机构：

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

[2] Nankai Univ, LPMC, Tianjin 300071, Peoples R China

[3] Univ Adelaide, Sch Math Sci, Adelaide, SA 5005, Australia

[4] Univ Calgary, Haskayne Sch Business, Calgary, AB, Canada

[5] Macquarie Univ, Fac Business & Econ, Dept Appl Finance & Actuarial Studies, Sydney, NSW 2109, Australia

[6] Macquarie Univ, Fac Business & Econ, Ctr Financial Risk, Sydney, NSW 2109, Australia

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2012年 / 50卷 / 02期

基金：

澳大利亚研究理事会; 中国国家自然科学基金;

关键词：

stochastic maximum principle; regime switching; jump-diffusion; dynamic programming; mean-variance portfolio selection; RETURNS; CHAINS;

D O I：

10.1137/110839357

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper develops a sufficient stochastic maximum principle for a stochastic optimal control problem, where the state process is governed by a continuous-time Markov regime-switching jump-diffusion model. We also establish the relationship between the stochastic maximum principle and the dynamic programming principle in a Markovian case. Applications of the stochastic maximum principle to the mean-variance portfolio selection problem are discussed.

引用

页码：964 / 990

页数：27

共 50 条

[1] A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance
Emel Savku
Gerhard-Wilhelm Weber
Journal of Optimization Theory and Applications, 2018, 179 : 696 - 721
[2] A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance
Savku, Emel
Weber, Gerhard-Wilhelm
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2018, 179 (02) : 696 - 721
[3] A RISK-SENSITIVE MAXIMUM PRINCIPLE FOR A MARKOV REGIME-SWITCHING JUMP-DIFFUSION SYSTEM AND APPLICATIONS
Sun, Zhongyang
Kemajou-Brown, Isabelle
Menoukeu-Pamen, Olivier
ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS, 2018, 24 (03) : 985 - 1013
[4] Stochastic maximum principle for a Markov regime switching jump-diffusion in infinite horizon
Ben Abdallah, Hani
Tamer, Lazhar
Chaouchkhouane, Nassima
INTERNATIONAL JOURNAL OF NONLINEAR ANALYSIS AND APPLICATIONS, 2022, 13 (02): : 1477 - 1494
[5] A GENERAL STOCHASTIC MAXIMUM PRINCIPLE FOR A MARKOV REGIME SWITCHING JUMP-DIFFUSION MODEL OF MEAN-FIELD TYPE
Zhang, Xin
Sun, Zhongyang
Xiong, Jie
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2018, 56 (04) : 2563 - 2592
[6] Sufficient Stochastic Maximum Principle in a Regime-Switching Diffusion Model
Donnelly, Catherine
APPLIED MATHEMATICS AND OPTIMIZATION, 2011, 64 (02): : 155 - 169
[7] Sufficient Stochastic Maximum Principle in a Regime-Switching Diffusion Model
Catherine Donnelly
Applied Mathematics & Optimization, 2011, 64 : 155 - 169
[8] Stochastic Maximum Principle for Forward-Backward Regime Switching Jump Diffusion Systems and Applications to Finance
Siyu Lv
Zhen Wu
Chinese Annals of Mathematics, Series B, 2018, 39 : 773 - 790
[9] Stochastic Maximum Principle for Forward-Backward Regime Switching Jump Diffusion Systems and Applications to Finance
Lv, Siyu
Wu, Zhen
CHINESE ANNALS OF MATHEMATICS SERIES B, 2018, 39 (05) : 773 - 790
[10] Stochastic Maximum Principle for Forward-Backward Regime Switching Jump Diffusion Systems and Applications to Finance
Siyu LV
Zhen WU
ChineseAnnalsofMathematics,SeriesB, 2018, (05) : 773 - 790

← 1 2 3 4 5 →