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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Revision as of 01:01, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance |
scientific article |
Statements
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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