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stochastic maximum principle for a markov regime switching jump-diffusion in infinite horizon
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نویسنده
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ben abdallah hani ,tamer lazhar ,chaouchkhouane nassima
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منبع
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international journal of nonlinear analysis and applications - 2022 - دوره : 13 - شماره : 2 - صفحه:1477 -1494
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چکیده
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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.
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کلیدواژه
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stochastic maximum principle ,optimal control ,partial information ,markov regime switching jump-diffusion model
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آدرس
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university mohamed khider, laboratory of applied mathematics, algeria, university mohamed khider, laboratory of applied mathematics, algeria, university mohamed khider, laboratory of applied mathematics, algeria
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پست الکترونیکی
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c.nassima@univ-biskra.dz
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Authors
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