A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance (Q1626520): Difference between revisions

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Latest revision as of 12:02, 17 July 2024

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A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance
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    A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance (English)
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    27 November 2018
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    stochastic maximum principle
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    regime switching
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    stochastic delay equations
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    anticipated backward stochastic differential equations
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    jump-diffusions
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    optimal consumption
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