期刊
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
卷 179, 期 2, 页码 696-721出版社
SPRINGER/PLENUM PUBLISHERS
DOI: 10.1007/s10957-017-1159-3
关键词
Stochastic maximum principle; Regime switching; Stochastic delay equations; Anticipated backward stochastic differential equations; Jump-diffusions; Optimal consumption; 93E20; 91G80; 60J75
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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