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

作     者：Shuaiqi ZHANG Jie XIONG Xiangdong LIU 

作者机构：School of Economics and Commerce Guangdong University of Technology Department of Mathematics University of Macau Department of Mathematics Southern University of Science and Technology Department of Statistics Jinan University 

出 版 物：《Science China(Information Sciences)》 (中国科学:信息科学(英文版))

年 卷 期：2018年第61卷第7期

页      面：106-118页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：supported in part by National Natural Science Foundation of China (Grant Nos. 11501129, 71571053, 71771058) 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) 

主　　题：partial information Markovian regime-switching stochastic maximum principle forwardbackward stochastic differential equation(FBSDE) 

摘      要：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.