A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance

2018-11-01
Savku, Emel
Weber, Gerhard Wilhelm
We study a stochastic optimal control problem for a delayed Markov regime-switching jump-diffusion model. We establish necessary and sufficient maximum principles under full and partial information for such a system. We prove the existence-uniqueness theorem for the adjoint equations, which are represented by an anticipated backward stochastic differential equation with jumps and regimes. We illustrate our results by a problem of optimal consumption problem from a cash flow with delay and regimes.

Citation Formats
E. Savku and G. W. Weber, “A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance,” JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, vol. 179, no. 2, pp. 696–721, 2018, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/57917.