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arXiv · 1403.2900

A Maximum Principle for Markov Regime-Switching Forward Backward Stochastic Differential Games and Applications

Olivier Menoukeu Pamen·Romual Herve Momeya
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Abstract

In this paper, we present an optimal control problem for stochastic differential games under Markov regime-switching forward-backward stochastic differential equations with jumps and partial information. First, we prove a sufficient maximum principle for non zero-sum stochastic differential game problems and obtain equilibrium point for such games. Second, we prove an equivalent maximum principle for non zero-sum stochastic differential games. The zero-sum stochastic differential games equivalent maximum principle is then obtained as a corollary. We apply the obtained results to study a problem of robust utility maximization under penalty entropy. We also apply the result to find optimal investment of an insurance firm under model uncertainty.

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Olivier Menoukeu Pamen, Romual Herve Momeya. 2014-03-12. A Maximum Principle for Markov Regime-Switching Forward Backward Stochastic Differential Games and Applications. https://arxiv.org/abs/1403.2900

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