Stochastic maximum principle for partially observed forward-backward stochastic differential equations with jumps and regime switching

doi:10.1007/s11432-017-9267-0

Residential College	false
Status	已發表Published
	Stochastic maximum principle for partially observed forward-backward stochastic differential equations with jumps and regime switching
	Zhang, Shuaiqi; Xiong, Jie; Liu, Xiangdong
	2018-07
Source Publication	SCIENCE CHINA-INFORMATION SCIENCES
ISSN	1674-733X
Volume	61 Issue:7
Abstract	In this article, we consider the partially observed optimal control problem for forward-backward stochastic systems with Markovian regime switching. A stochastic maximum principle for optimal control is developed using a variational method and filtering technique. Our theoretical results are applied to the motivating example of the risk minimization for portfolio selection.
Keyword	Partial Information Markovian Regime-switching Stochastic Maximum Principle Forward-backward Stochastic Differential Equation (Fbsde)
DOI	10.1007/s11432-017-9267-0
URL	View the original
Indexed By	SCIE
Language	英語English
WOS Research Area	Computer Science ; Engineering
WOS Subject	Computer Science, Information Systems ; Engineering, Electrical & Electronic
WOS ID	WOS:000436183000001
Publisher	SCIENCE PRESS
The Source to Article	WOS
Scopus ID	2-s2.0-85047339728
Fulltext Access	View Full-Text via DOI View Full-Text via Web of Science
Citation statistics
Document Type	Journal article
Collection	University of Macau
Recommended Citation GB/T 7714	Zhang, Shuaiqi,Xiong, Jie,Liu, Xiangdong. Stochastic maximum principle for partially observed forward-backward stochastic differential equations with jumps and regime switching[J]. SCIENCE CHINA-INFORMATION SCIENCES, 2018, 61(7).
APA	Zhang, Shuaiqi., Xiong, Jie., & Liu, Xiangdong (2018). Stochastic maximum principle for partially observed forward-backward stochastic differential equations with jumps and regime switching. SCIENCE CHINA-INFORMATION SCIENCES, 61(7).
MLA	Zhang, Shuaiqi,et al."Stochastic maximum principle for partially observed forward-backward stochastic differential equations with jumps and regime switching".SCIENCE CHINA-INFORMATION SCIENCES 61.7(2018).

Files in This Item:
There are no files associated with this item.

If you have any objections to this item, please fill out the form below and the administrator will contact you as soon as possible.
Content:
Email：	*
Affiliation No.
Verification Code:	Refresh

Any comments and suggestions are welcomed.
Title:	*
Content:
Email：	*
Verification Code:	Refresh