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Stochastic maximum principle for a Markov regime switching jump-diffusion in infinite horizon | ||
| International Journal of Nonlinear Analysis and Applications | ||
| مقاله 120، دوره 13، شماره 2، مهر 2022، صفحه 1477-1494 اصل مقاله (468.65 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22075/ijnaa.2021.22766.2413 | ||
| نویسندگان | ||
| Hani Benabdallah1؛ Lazhar Tamer* 1؛ Nassima Chaouchkhouane2 | ||
| 1Laboratory of Applied Mathematics, University Mohamed Khider, Biskra Po. Box 145 Biskra (07000), Algeria. | ||
| 2Laboratory of Applied Mathematics, University Mohamed Khider, Biskra Po. Box 145 Biskra (07000), Algeria | ||
| تاریخ دریافت: 06 اسفند 1399، تاریخ بازنگری: 29 شهریور 1400، تاریخ پذیرش: 01 مهر 1400 | ||
| 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 | ||
| مراجع | ||
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