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

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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.

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Acknowledgements

ZHANG’s research was supported in part by National Natural Science Foundation of China (Grant Nos. 11501129, 71571053, 71771058) and Natural Science Foundation of Hebei Province (Grant No. A2014202202). XIONG’s research was supported by Macao Science and Technology Fund FDCT (Grant No. FDCT025/2016/A1).

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Authors and Affiliations

  1. School of Economics and Commerce, Guangdong University of Technology, Guangzhou, 510520, China

    Shuaiqi Zhang

  2. Department of Mathematics, University of Macau, Macau, China

    Jie Xiong

  3. Department of Mathematics, Southern University of Science and Technology, Shenzhen, 518055, China

    Jie Xiong

  4. Department of Statistics, Jinan University, Guangzhou, 510632, China

    Xiangdong Liu

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  1. Shuaiqi Zhang
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  2. Jie Xiong
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  3. Xiangdong Liu
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Correspondence to Shuaiqi Zhang.

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Zhang, S., Xiong, J. & Liu, X. Stochastic maximum principle for partially observed forward-backward stochastic differential equations with jumps and regime switching. Sci. China Inf. Sci. 61, 70211 (2018). https://doi.org/10.1007/s11432-017-9267-0

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  • DOI: https://doi.org/10.1007/s11432-017-9267-0

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