Stochastic maximum principle for a Markov regime switching jump-diffusion in infinite horizon

نویسندگان
Tamer, Lazhar ID 1
Chaouchkhouane, Nassima ID 2
Benabdallah, Hani ID 3

1 Laboratory of Applied Mathematics, University Mohamed Khider, Biskra Po. Box 145 Biskra (07000), Algeria.

2 Laboratory of Applied Mathematics, University Mohamed Khider, Biskra Po. Box 145 Biskra (07000), Algeria

3 Laboratory of Applied Mathematics, University Mohamed Khider, Biskra Po. Box 145 Biskra (07000), Algeria.

doi
10.22075/ijnaa.2021.22766.2413
چکیده

In this paper, we study a stochastic optimal control problem for a Markov regime switching jump-diffusion model. Sufficient and necessary maximum principles for optimal control under partial information in infinite horizon are derived. We illustrate our results by a problem of optimal consumption problem from a cash flow with regime.

کلیدواژه‌ها
Stochastic maximum principle, Optimal control, Partial information, Markov regime switching jump-diffusion model