Kemajou-Brown, IsabelleN'Guerekata, Gaston M.Xie, XumingZiyadi, NajatTeutu Talla, Serges Love2020-04-102020-04-102019-10-18http://hdl.handle.net/11603/17939In 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.en-USMathematicsText