A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance (Q2903513)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance |
scientific article |
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A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance (English)
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10 August 2012
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stochastic maximum principle
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stochastic optimal control problem
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continuous-time Markov regime-switching jump-diffusion
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