A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance (Q2903513): Difference between revisions

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Latest revision as of 01:02, 20 March 2024

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A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance
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    A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance (English)
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    10 August 2012
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    stochastic maximum principle
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    stochastic optimal control problem
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    continuous-time Markov regime-switching jump-diffusion
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