In this paper, we derive a general stochastic maximum principle for a risk-sensitive type optimal control problem of Markov regime-switching jump-diffusion model. The results are obtained via a logarithmic transformation and the relationship between adjoint variables and the value function. We apply the results to study both a linear-quadratic optimal control problem and a risk-sensitive benchmarked asset management problem for Markov regime-switching models. In the latter case, the optimal control is of feedback form and is given in terms of solutions to a Markov regime-switching Riccatti equation and an ordinary Markov regime-switching differential equation.
Supplementary materials in this section are entirely based on the simulations study. All results and from different percent of contamination and the different sample size are summarized though the figures below. Figures 1, 2 3, and 4 summarizes the results in of scenario 1 in which the design space was contaminated using a normal contamination.
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