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

被引：0
作者：
Emel Savku
Gerhard-Wilhelm Weber
机构：
[1] Middle East Technical University,Institute of Applied Mathematics
来源：
Journal of Optimization Theory and Applications | 2018年 / 179卷
关键词：
Stochastic maximum principle; Regime switching; Stochastic delay equations; Anticipated backward stochastic differential equations; Jump-diffusions; Optimal consumption; 93E20; 91G80; 60J75;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We study a stochastic optimal control problem for a delayed Markov regime-switching jump-diffusion model. We establish necessary and sufficient maximum principles under full and partial information for such a system. We prove the existence–uniqueness theorem for the adjoint equations, which are represented by an anticipated backward stochastic differential equation with jumps and regimes. We illustrate our results by a problem of optimal consumption problem from a cash flow with delay and regimes.
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页码：696 / 721
页数：25
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