Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance (Q1624194): Difference between revisions

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Latest revision as of 09:21, 17 July 2024

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Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance
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    Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance (English)
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    15 November 2018
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    stochastic maximum principle
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    dynamic programming principle
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    forward-backward stochastic differential equation
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    regime switching
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    jump diffusion
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