{"id":"https://openalex.org/W1965542647","doi":"https://doi.org/10.1137/110839357","title":"A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance","display_name":"A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance","publication_year":2012,"publication_date":"2012-01-01","ids":{"openalex":"https://openalex.org/W1965542647","doi":"https://doi.org/10.1137/110839357","mag":"1965542647"},"language":"en","primary_location":{"id":"doi:10.1137/110839357","is_oa":false,"landing_page_url":"https://doi.org/10.1137/110839357","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100327395","display_name":"Xin Zhang","orcid":"https://orcid.org/0000-0002-0036-5996"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Xin Zhang","raw_affiliation_strings":["nku.x.zhang@gmail.com#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"nku.x.zhang@gmail.com#TAB#","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5045670674","display_name":"Robert J. Elliott","orcid":"https://orcid.org/0000-0002-5486-6999"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Robert J. Elliott","raw_affiliation_strings":["relliott@ucalgary.ca#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"relliott@ucalgary.ca#TAB#","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5057293423","display_name":"Tak Kuen Siu","orcid":"https://orcid.org/0000-0003-2823-5138"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Tak Kuen Siu","raw_affiliation_strings":["ktksiu2005@gmail.com#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"ktksiu2005@gmail.com#TAB#","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":7.3152,"has_fulltext":false,"cited_by_count":102,"citation_normalized_percentile":{"value":0.97212146,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":94,"max":99},"biblio":{"volume":"50","issue":"2","first_page":"964","last_page":"990"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.993399977684021,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9886999726295471,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/maximum-principle","display_name":"Maximum principle","score":0.8197073936462402},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7227068543434143},{"id":"https://openalex.org/keywords/jump-diffusion","display_name":"Jump diffusion","score":0.7216887474060059},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.595221221446991},{"id":"https://openalex.org/keywords/jump-process","display_name":"Jump process","score":0.5895187854766846},{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.5620734691619873},{"id":"https://openalex.org/keywords/continuous-time-stochastic-process","display_name":"Continuous-time stochastic process","score":0.5106256604194641},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.5015647411346436},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.49384433031082153},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.47503167390823364},{"id":"https://openalex.org/keywords/stochastic-process","display_name":"Stochastic process","score":0.47008538246154785},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.4686882793903351},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.4599529802799225},{"id":"https://openalex.org/keywords/diffusion-process","display_name":"Diffusion process","score":0.45021185278892517},{"id":"https://openalex.org/keywords/diffusion","display_name":"Diffusion","score":0.44470229744911194},{"id":"https://openalex.org/keywords/dynamic-programming","display_name":"Dynamic programming","score":0.4409730136394501},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.4291784465312958},{"id":"https://openalex.org/keywords/state","display_name":"State (computer science)","score":0.4195796847343445},{"id":"https://openalex.org/keywords/separation-principle","display_name":"Separation principle","score":0.41078466176986694},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.40463197231292725},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.3729163408279419},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3697812557220459},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.19578412175178528},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.12887954711914062},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.08717682957649231},{"id":"https://openalex.org/keywords/nonlinear-system","display_name":"Nonlinear system","score":0.07820549607276917},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.0752059817314148}],"concepts":[{"id":"https://openalex.org/C31010330","wikidata":"https://www.wikidata.org/wiki/Q1914255","display_name":"Maximum principle","level":3,"score":0.8197073936462402},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7227068543434143},{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.7216887474060059},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.595221221446991},{"id":"https://openalex.org/C2776825372","wikidata":"https://www.wikidata.org/wiki/Q3922411","display_name":"Jump process","level":3,"score":0.5895187854766846},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.5620734691619873},{"id":"https://openalex.org/C158535547","wikidata":"https://www.wikidata.org/wiki/Q5165437","display_name":"Continuous-time stochastic process","level":3,"score":0.5106256604194641},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.5015647411346436},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.49384433031082153},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.47503167390823364},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.47008538246154785},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.4686882793903351},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.4599529802799225},{"id":"https://openalex.org/C68710425","wikidata":"https://www.wikidata.org/wiki/Q5275442","display_name":"Diffusion process","level":3,"score":0.45021185278892517},{"id":"https://openalex.org/C69357855","wikidata":"https://www.wikidata.org/wiki/Q163214","display_name":"Diffusion","level":2,"score":0.44470229744911194},{"id":"https://openalex.org/C37404715","wikidata":"https://www.wikidata.org/wiki/Q380679","display_name":"Dynamic programming","level":2,"score":0.4409730136394501},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.4291784465312958},{"id":"https://openalex.org/C48103436","wikidata":"https://www.wikidata.org/wiki/Q599031","display_name":"State (computer science)","level":2,"score":0.4195796847343445},{"id":"https://openalex.org/C62431964","wikidata":"https://www.wikidata.org/wiki/Q2271572","display_name":"Separation principle","level":4,"score":0.41078466176986694},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.40463197231292725},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.3729163408279419},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3697812557220459},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.19578412175178528},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.12887954711914062},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.08717682957649231},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.07820549607276917},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.0752059817314148},{"id":"https://openalex.org/C3031470","wikidata":"https://www.wikidata.org/wiki/Q818544","display_name":"State observer","level":3,"score":0.0},{"id":"https://openalex.org/C136264566","wikidata":"https://www.wikidata.org/wiki/Q159810","display_name":"Economy","level":1,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C2780378061","wikidata":"https://www.wikidata.org/wiki/Q25351891","display_name":"Service (business)","level":2,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1137/110839357","is_oa":false,"landing_page_url":"https://doi.org/10.1137/110839357","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},{"id":"pmh:oai:digital.library.adelaide.edu.au:2440/73976","is_oa":false,"landing_page_url":"http://hdl.handle.net/2440/73976","pdf_url":null,"source":{"id":"https://openalex.org/S4306401835","display_name":"Adelaide Research & Scholarship (AR&S) (University of Adelaide)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I5681781","host_organization_name":"The University of Adelaide","host_organization_lineage":["https://openalex.org/I5681781"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://dx.doi.org/10.1137/110839357","raw_type":"Journal article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":23,"referenced_works":["https://openalex.org/W296104605","https://openalex.org/W1488001421","https://openalex.org/W1517390009","https://openalex.org/W1525883337","https://openalex.org/W1534416612","https://openalex.org/W1558902221","https://openalex.org/W1568563398","https://openalex.org/W1575104486","https://openalex.org/W1988916339","https://openalex.org/W1995168893","https://openalex.org/W1995522593","https://openalex.org/W2005775198","https://openalex.org/W2041522674","https://openalex.org/W2056551289","https://openalex.org/W2060878939","https://openalex.org/W2076424721","https://openalex.org/W2078895915","https://openalex.org/W2087061940","https://openalex.org/W2151065060","https://openalex.org/W2796337403","https://openalex.org/W3008685176","https://openalex.org/W3101925067","https://openalex.org/W4230643538"],"related_works":["https://openalex.org/W362430865","https://openalex.org/W3190506321","https://openalex.org/W2648988829","https://openalex.org/W2618936491","https://openalex.org/W2288042208","https://openalex.org/W1804201128","https://openalex.org/W2363732104","https://openalex.org/W1936036534","https://openalex.org/W4244920853","https://openalex.org/W1965542647"],"abstract_inverted_index":{"This":[0],"paper":[1],"develops":[2],"a":[3,9,21,43],"sufficient":[4],"stochastic":[5,10,34,49],"maximum":[6,35,50],"principle":[7,36,41,51],"for":[8],"optimal":[11],"control":[12],"problem,":[13],"where":[14],"the":[15,30,33,38,48,53],"state":[16],"process":[17],"is":[18],"governed":[19],"by":[20],"continuous-time":[22],"Markov":[23],"regime-switching":[24],"jump-diffusion":[25],"model.":[26],"We":[27],"also":[28],"establish":[29],"relationship":[31],"between":[32],"and":[37],"dynamic":[39],"programming":[40],"in":[42],"Markovian":[44],"case.":[45],"Applications":[46],"of":[47],"to":[52],"mean-variance":[54],"portfolio":[55],"selection":[56],"problem":[57],"are":[58],"discussed.":[59]},"counts_by_year":[{"year":2026,"cited_by_count":4},{"year":2025,"cited_by_count":10},{"year":2024,"cited_by_count":6},{"year":2023,"cited_by_count":11},{"year":2022,"cited_by_count":10},{"year":2021,"cited_by_count":9},{"year":2020,"cited_by_count":6},{"year":2019,"cited_by_count":8},{"year":2018,"cited_by_count":8},{"year":2017,"cited_by_count":7},{"year":2016,"cited_by_count":4},{"year":2015,"cited_by_count":5},{"year":2014,"cited_by_count":5},{"year":2013,"cited_by_count":7},{"year":2012,"cited_by_count":2}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}