{
  "id": "1403.2900",
  "version": "v2",
  "published": "2014-03-12T12:18:18.000Z",
  "updated": "2014-10-13T09:11:41.000Z",
  "title": "A Maximum Principle for Markov Regime-Switching Forward Backward Stochastic Differential Games and Applications",
  "authors": [
    "Olivier Menoukeu Pamen",
    "Romual Herve Momeya"
  ],
  "categories": [
    "math.OC"
  ],
  "abstract": "In this paper, we present an optimal control problem for stochastic differential games under Markov regime-switching forward-backward stochastic differential equations with jumps and partial information. First, we prove a sufficient maximum principle for non zero-sum stochastic differential game problems and obtain equilibrium point for such games. Second, we prove an equivalent maximum principle for non zero-sum stochastic differential games. The zero-sum stochastic differential games equivalent maximum principle is then obtained as a corollary. We apply the obtained results to study a problem of robust utility maximization under penalty entropy. We also apply the result to find optimal investment of an insurance firm under model uncertainty.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2014-03-12T12:18:18.000Z",
      "title": "A Maximum Principles for Markov Regime-Switching Forward Backward Stochastic Differential Games and Applications",
      "abstract": "In this paper, we present an optimal control problem for stochastic differential games under Markov regime-switching forward-backward stochastic differential equations with jumps and partial information. First, we prove a sufficient maximum principle for non zero-sum stochastic differential game problems and obtain equilibrium point for such games. Second, we prove an equivalent maximum principle for non zero-sum stochastic differential games. The zero-sum stochastic differential games equivalent maximum principle is then obtain as a corollary. We apply the obtained results to study a problem of robust utility maximization under penalty entropy. We also apply the result to find optimal investment of an insurance firm under model uncertainty.",
      "comment": null,
      "journal": null,
      "doi": null
    },
    {
      "version": "v2",
      "updated": "2014-10-13T09:11:41.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "zero-sum stochastic differential game",
      "forward backward stochastic differential games",
      "regime-switching forward backward stochastic differential",
      "markov regime-switching forward backward stochastic",
      "maximum principle"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2014arXiv1403.2900M"
    }
  }
}