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：
中国国家自然科学基金; 澳大利亚研究理事会;
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
收藏
页码：964 / 990
页数：27
相关论文
共 50 条
  • [21] The Stochastic Maximum Principle for a Jump-Diffusion Mean-Field Model Involving Impulse Controls and Applications in Finance
    LI Cailing
    LIU Zaiming
    WU Jinbiao
    HUANG Xiang
    JournalofSystemsScience&Complexity, 2020, 33 (01) : 26 - 42
  • [22] The Stochastic Maximum Principle for a Jump-Diffusion Mean-Field Model Involving Impulse Controls and Applications in Finance
    Cailing Li
    Zaiming Liu
    Jinbiao Wu
    Xiang Huang
    Journal of Systems Science and Complexity, 2020, 33 : 26 - 42
  • [23] PRICING DYNAMIC FUND PROTECTION UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL WITH STOCHASTIC PROTECTION LEVEL
    Xu, Chao
    Dong, Yinghui
    Tian, Zhaolu
    Wang, Guojing
    JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2020, 16 (06) : 2603 - 2623
  • [24] Optimal stopping problem for jump-diffusion processes with regime-switching
    Shao, Jinghai
    Tian, Taoran
    NONLINEAR ANALYSIS-HYBRID SYSTEMS, 2021, 41
  • [25] Optimal dividend payment strategies with debt constraint in a hybrid regime-switching jump-diffusion model
    Tan, Senren
    Jin, Zhuo
    Yin, G.
    NONLINEAR ANALYSIS-HYBRID SYSTEMS, 2018, 27 : 141 - 156
  • [26] Maximum Principle for Markov Regime-Switching Forward–Backward Stochastic Control System with Jumps and Relation to Dynamic Programming
    Zhongyang Sun
    Junyi Guo
    Xin Zhang
    Journal of Optimization Theory and Applications, 2018, 176 : 319 - 350
  • [27] Optimal investment of variance-swaps in jump-diffusion market with regime-switching
    Bo, Lijun
    Tang, Dan
    Wang, Yongjin
    JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2017, 83 : 175 - 197
  • [28] NUMERICAL METHODS FOR DIVIDEND OPTIMIZATION USING REGIME-SWITCHING JUMP-DIFFUSION MODELS
    Jin, Zhuo
    Yin, George
    Yang, Hailiang
    MATHEMATICAL CONTROL AND RELATED FIELDS, 2011, 1 (01) : 21 - 40
  • [29] The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
    Shen, Yang
    Siu, Tak Kuen
    NONLINEAR ANALYSIS-THEORY METHODS & APPLICATIONS, 2013, 86 : 58 - 73
  • [30] A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching*
    Song, Yuanzhuo
    Wu, Zhen
    ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS, 2022, 28
12345