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A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications
2018
E S A I M: Control, Optimisation and Calculus of Variations
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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
doi:10.1051/cocv/2017039
fatcat:gmohthvqwneuzngakbmzbzqrje