Indexed on: 23 May '18Published on: 18 May '18Published in: Science China Information Sciences
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.
Indexed on: 05 Jul '13
Published on: 05 Jul '13 in Structural and multidisciplinary optimization : journal of the International Society for Structural and Multidisciplinary Optimization