Stochastic maximum principle for partially observed forward-backward stochastic differential equations with jumps and regime switching
Indexed on: 23 May '18Published on: 18 May '18Published in: Science China Information Sciences
Abstract
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.
