A Finance Perspective to Risk-Sensitive Optimal Control with Regime Switching and Applications

Author/Creator ORCID

Date

2019-10-18

Type of Work

Department

Mathematics

Program

Master of Arts

Citation of Original Publication

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Subjects

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.