| Issue |
ESAIM: COCV
Volume 28, 2022
|
|
|---|---|---|
| Article Number | 61 | |
| Number of page(s) | 19 | |
| DOI | https://doi.org/10.1051/cocv/2022054 | |
| Published online | 14 September 2022 | |
A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching*
School of Mathematics and Zhongtai Securities Institute for Financial Study, Shandong University, Jinan, China
** Corresponding author: wuzhen@sdu.edu.cn
Received:
20
February
2021
Accepted:
18
August
2022
In this paper, we give a general maximum principle for optimal controls of stochastic systems driven by Markov chains. The control is allowed to enter both diffusion and jump terms and the control domain is not necessarily convex. We apply a new spike variation and the stochastic integral of progressive processes to obtain the main result.
Mathematics Subject Classification: 60H10 / 93E20
Key words: The maximum principle / Markov chain / regime-switching / spike variation
© The authors. Published by EDP Sciences, SMAI 2022
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