International Journal of Nonlinear Analysis and Applications

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

Document Type : Research Paper

Authors

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

Abstract

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.

Keywords

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International Journal of Nonlinear Analysis and Applications
Volume 13, Issue 2
July 2022
Pages 1477-1494
  • Receive Date: 24 February 2021
  • Revise Date: 20 September 2021
  • Accept Date: 23 September 2021