|
|
| |
| Stochastic Maximum Principle for Forward-Backward Regime Switching Jump Diffusion Systems and Applications to Finance |
| |
Citation： |
Siyu LV,Zhen WU.Stochastic Maximum Principle for Forward-Backward Regime Switching Jump Diffusion Systems and Applications to Finance[J].Chinese Annals of Mathematics B,2018,39(5):773~790 |
| Page view： 1581
Net amount： 1195 |
Authors： |
Siyu LV; Zhen WU |
Foundation： |
This work was supported by the National Natural Science
Foundation of China (No.61573217), the 111 Project (No.B12023),
the National High-level Personnel of Special Support Program and the
Chang Jiang Scholar Program of the Ministry of Education of China. |
|
|
| Abstract： |
The authors prove a sufficient stochastic maximum principle for the
optimal control of a forward-backward Markov regime switching jump
diffusion system and show its connection to dynamic programming
principle. The result is applied to a cash flow valuation problem
with terminal wealth constraint in a financial market. An explicit
optimal strategy is obtained in this example. |
Keywords： |
Stochastic maximum principle, Dynamic programming principle,Forward-backward stochastic differential equation,Regime switching, Jump diffusion |
Classification： |
93E20, 60H10, 91B26 |
|
|
Download PDF Full-Text
|
|
|
|
