Maximum Principle for Markov Regime-Switching Forward–Backward Stochastic Control System with Jumps and Relation to Dynamic Programming

Zhongyang Sun (), Junyi Guo () and Xin Zhang ()
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Zhongyang Sun: Sun Yat-sen University
Junyi Guo: Nankai University
Xin Zhang: Southeast University

Journal of Optimization Theory and Applications, 2018, vol. 176, issue 2, No 4, 319-350

Abstract: Abstract This paper presents a sufficient stochastic maximum principle for a stochastic optimal control problem of Markov regime-switching forward–backward stochastic differential equations with jumps. The relationship between the stochastic maximum principle and the dynamic programming principle in a Markovian case is also established. Finally, applications of the main results to a recursive utility portfolio optimization problem in a financial market are discussed.

Keywords: Stochastic maximum principle; Regime-switching; Forward–backward stochastic differential equations; Dynamic programming; Recursive utility optimization; 91G80; 93E20 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10957-017-1068-5

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