A RISK-SENSITIVE MAXIMUM PRINCIPLE FOR A MARKOV REGIME-SWITCHING JUMP-DIFFUSION SYSTEM AND APPLICATIONS

作者：Sun, Zhongyang^*; Kemajou Brown, Isabelle; Menoukeu Pamen, Olivier

来源：ESAIM: Control, Optimisation and Calculus of Variations , 2018, 24(3): 985-1013.

DOI：10.1051/cocv/2017039

• Risk-sensitive control
• Regime-switching
• Jump-diffusion
• Stochastic maximum principle
• Asset management

In this paper, we derive a general stochastic maximum principle for a risk-sensitive type optimal control problem of Markov regime-switching jump-diffusion model. The results are obtained via a logarithmic transformation and the relationship between adjoint variables and the value function. We apply the results to study both a linear-quadratic optimal control problem and a risk-sensitive benchmarked asset management problem for Markov regime-switching models. In the latter case, the optimal control is of feedback form and is given in terms of solutions to a Markov regime-switching Riccatti equation and an ordinary Markov regime-switching differential equation.

• 出版日期2018-9
• 单位中山大学