Sufficient stochastic maximum principle in a regime-switching diffusion model (Q649123): Difference between revisions
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| Property / arXiv ID: 1007.3412 / rank | |||
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| Property / cites work: Conjugate convex functions in optimal stochastic control / rank | |||
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| Property / cites work: Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance / rank | |||
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| Property / cites work: Q4508926 / rank | |||
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| Property / cites work: Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model / rank | |||
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Latest revision as of 16:37, 4 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sufficient stochastic maximum principle in a regime-switching diffusion model |
scientific article |
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Sufficient stochastic maximum principle in a regime-switching diffusion model (English)
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30 November 2011
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sufficient maximum principle
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regime-switching
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optimal control
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mean-variance portfolio selection
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