排序方式: 共有4条查询结果,搜索用时 31 毫秒
1
1.
Guo Chang Zhuo Xiaoyang Constantinescu Corina Pamen Olivier Menoukeu 《Methodology and Computing in Applied Probability》2018,20(4):1477-1502
Methodology and Computing in Applied Probability - In this paper, we pursue the optimal reinsurance-investment strategy of an insurer who can invest in both domestic and foreign markets. We assume... 相似文献
2.
Olivier Menoukeu Pamen 《Journal of Optimization Theory and Applications》2017,175(2):373-410
This paper presents three versions of maximum principle for a stochastic optimal control problem of Markov regime-switching forward–backward stochastic differential equations with jumps. First, a general sufficient maximum principle for optimal control for a system, driven by a Markov regime-switching forward–backward jump–diffusion model, is developed. In the regime-switching case, it might happen that the associated Hamiltonian is not concave and hence the classical maximum principle cannot be applied. Hence, an equivalent type maximum principle is introduced and proved. In view of solving an optimal control problem when the Hamiltonian is not concave, we use a third approach based on Malliavin calculus to derive a general stochastic maximum principle. This approach also enables us to derive an explicit solution of a control problem when the concavity assumption is not satisfied. In addition, the framework we propose allows us to apply our results to solve a recursive utility maximization problem. 相似文献
3.
O. Menoukeu Pamen F. Proske H. Binti Salleh 《Journal of Optimization Theory and Applications》2014,160(1):302-343
In this paper, we use techniques of Malliavin calculus and forward integration to present a general stochastic maximum principle for anticipating stochastic differential equations driven by a Lévy type of noise. We apply our result to study a general stochastic differential game problem of an insider. 相似文献
4.
1