Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Sufficient stochastic maximum principle for the optimal control of
  semi-Markov modulated jump-diffusion with application to Financial
  optimization   The finite state semi-Markov process is a generalization over the Markov
chain in which the sojourn time distribution is any general distribution. In
this article we provide a sufficient stochastic maximum principle for the
optimal control of a semi-Markov modulated jump-diffusion process in which the
drift, diffusion and the jump kernel of the jump-diffusion process is modulated
by a semi-Markov process. We also connect the sufficient stochastic maximum
principle with the dynamic programming equation. We apply our results to finite
horizon risk-sensitive control portfolio optimization problem and to a
quadratic loss minimization problem.

11
The categories of this paper are: hep-lat
16
The categories of this paper are: stat
19
The categories of this paper are: eess
4
The categories of this paper are: cond-mat
32
The categories of this paper are: atom-ph
33
The categories of this paper are: plasm-ph
36
The categories of this paper are: cmp-lg
15
The categories of this paper are: nucl-ex
24
The categories of this paper are: dg-ga
22
The categories of this paper are: chao-dyn
30
The categories of this paper are: q-alg
34
The categories of this paper are: chem-ph
10
The categories of this paper are: q-bio
3
The categories of this paper are: physics
9
The categories of this paper are: nlin
37
The categories of this paper are: supr-con