A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance (Q2903513): Difference between revisions
From MaRDI portal
Created a new Item |
Set OpenAlex properties. |
||
(2 intermediate revisions by 2 users not shown) | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W1965542647 / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Latest revision as of 01:02, 20 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance |
scientific article |
Statements
A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance (English)
0 references
10 August 2012
0 references
stochastic maximum principle
0 references
stochastic optimal control problem
0 references
continuous-time Markov regime-switching jump-diffusion
0 references