Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems

2021 ◽  
Vol 31 (6) ◽  
pp. 2141-2167
Author(s):  
Jun Moon
Keyword(s):  
Optimal Control ◽  
Maximum Principle ◽  
Stochastic Optimal Control ◽  
Regime Switching ◽  
Mean Field ◽  
Jump Diffusion ◽  
Markov Regime Switching ◽  
Field Type ◽  
Diffusion Systems ◽  
Risk Sensitive

A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications

2018 ◽  
Vol 24 (3) ◽  
pp. 985-1013 ◽  
Author(s):  
Zhongyang Sun ◽  
Isabelle Kemajou-Brown ◽  
Olivier Menoukeu-Pamen
Keyword(s):  
Optimal Control ◽  
Maximum Principle ◽  
Optimal Control Problem ◽  
Control Problem ◽  
Regime Switching ◽  
Jump Diffusion ◽  
Management Problem ◽  
Markov Regime Switching ◽  
Risk Sensitive ◽  
Jump Diffusion Model

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.

Mean-Field-Type Games with Jump-Diffusion and Regime Switching

2021 ◽  
pp. 167-198
Author(s):  
Julian Barreiro-Gomez ◽  
Hamidou Tembine
Keyword(s):  
Regime Switching ◽  
Mean Field ◽  
Jump Diffusion ◽  
Field Type
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