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

作者：Sun, Zhongyang; Guo, Junyi^*; Zhang, Xin

来源：Journal of Optimization Theory and Applications, 2018, 176(2): 319-350.

DOI：10.1007/s10957-017-1068-5

• Stochastic maximum principle
• Regime-switching
• Forward-backward stochastic differential equations
• Dynamic programming
• Recursive utility optimization

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.

• 出版日期2018-2
• 单位东南大学; 南开大学; 中山大学