Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance (Q1624194): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 04:08, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance |
scientific article |
Statements
Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance (English)
0 references
15 November 2018
0 references
stochastic maximum principle
0 references
dynamic programming principle
0 references
forward-backward stochastic differential equation
0 references
regime switching
0 references
jump diffusion
0 references
