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

EasyChair Preprint no. 5313

Abstract

In this paper, we study a stochastic optimal control problem for a Markov regime switching forward stochastic differential equations with jumps and partial information. Sufficient and necessary maximum principles for optimal control under partial information are deriven.

Keyphrases: optimal control, partial information, Regime Switching, Stochastic maximum principle

@Booklet{EasyChair:5313,
  author = {Hani Ben Abdallah},
  title = {Maximum Principle of Markov Regime-Switching Forward Stochastic Differential Equations with Jumps and Partial Information},
  howpublished = {EasyChair Preprint no. 5313},

  year = {EasyChair, 2021}}