Articles with "markov regime" as a keyword



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Maximum Principles of Markov Regime-Switching Forward–Backward Stochastic Differential Equations with Jumps and Partial Information

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Published in 2017 at "Journal of Optimization Theory and Applications"

DOI: 10.1007/s10957-017-1144-x

Abstract: This paper presents three versions of maximum principle for a stochastic optimal control problem of Markov regime-switching forward–backward stochastic differential equations with jumps. First, a general sufficient maximum principle for optimal control for a system,… read more here.

Keywords: regime switching; markov regime; maximum principle; switching forward ... See more keywords