1.School of Mathematics,Southeast University,Nanjing,China;2.School of Mathematics,Shandong University,Jinan,China
Abstract:
The authors prove a sufficient stochastic maximum principle for the optimal control of a forward-backward Markov regime switching jump diffusion system and show its connection to dynamic programming principle. The result is applied to a cash flow valuation problem with terminal wealth constraint in a financial market. An explicit optimal strategy is obtained in this example.