A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications (Q2407985): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(6 intermediate revisions by 5 users not shown)
Property / author
 
Property / author: Olivier Menoukeu Pamen / rank
Normal rank
 
Property / author
 
Property / author: Olivier Menoukeu Pamen / rank
 
Normal rank
Property / Wikidata QID
 
Property / Wikidata QID: Q59522317 / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2575679751 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1403.2900 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lévy Processes and Stochastic Calculus / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5436596 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions / rank
 
Normal rank
Property / cites work
 
Property / cites work: About the Pricing Equations in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sufficient stochastic maximum principle in a regime-switching diffusion model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Differential Utility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Filtering with discrete state observations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4323296 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A stochastic differential game for optimal investment of an insurer with regime switching / rank
 
Normal rank
Property / cites work
 
Property / cites work: Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong uniqueness of solutions of stochastic differential equations with jumps and non-Lipschitz random coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Differential Equations with Markovian Switching / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Forward-backward stochastic differential games and stochastic control under model uncertainty / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations and applications to optimal control / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4235027 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance / rank
 
Normal rank

Latest revision as of 12:06, 14 July 2024

scientific article
Language Label Description Also known as
English
A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications
scientific article

    Statements

    A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications (English)
    0 references
    9 October 2017
    0 references
    forward-backward stochastic differential equations
    0 references
    Markov regime-switching
    0 references
    stochastic differential games
    0 references
    optimal investment
    0 references
    stochastic maximum principle
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references