A Finance Perspective to Risk-Sensitive Optimal Control with Regime Switching and Applications
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Date
2019-10-18
Department
Mathematics
Program
Master of Arts
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Abstract
In this work, we briefly review the literature on stochastic optimization
problems using the Pontryagin Maximum Principle. Then, we investigate
the procedure for solving a risk-sensitivity stochastic maximum principle
problem with regime-switching. Finally, we provide an application in finance.