Maximum Principles of Markov Regime-Switching Forward-Backward Stochastic Differential Equations with Jumps and Partial Information

Olivier Menoukeu Pamen

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arXiv · 1403.2901

Maximum Principles of Markov Regime-Switching Forward-Backward Stochastic Differential Equations with Jumps and Partial Information

Olivier Menoukeu Pamen

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Abstract

This paper presents three versions of maximum principle for a stochastic optimal control problem of Markov regime-switching forward-backward stochastic differential equations with jumps (FBSDEJs). A general sufficient maximum principle for optimal control for a system driven by a Markov regime-switching forward and backward jump-diffusion model is developed. After, an equivalent maximum principle is proved. Malliavin calculus is also employed to derive a general stochastic maximum principle. The latter does not require concavity of Hamiltonian. Applications of the stochastic maximum principle to non-concave Hamiltonian and recursive utility maximization is also discussed.

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BibTeX RIS

Olivier Menoukeu Pamen. 2014-03-12. Maximum Principles of Markov Regime-Switching Forward-Backward Stochastic Differential Equations with Jumps and Partial Information. https://arxiv.org/abs/1403.2901

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