Dynamic programming for a Markov-switching jump-diffusion (Q396027)

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Dynamic programming for a Markov-switching jump-diffusion
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    title
    Dynamic programming for a Markov-switching jump-diffusion (English)
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    author
    Gerhard-Wilhelm Weber
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    N. Monteiro Azevedo
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    Diogo Pinheiro
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    publication date
    8 August 2014
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    zbMATH Keywords
    stochastic optimal control
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    jump-diffusion
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    Markov-switching
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    optimal consumption-investment
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    cites work
    Q5820981
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    Q4255599
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    Q4778955
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    Q4508926
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    Q4368791
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    Q4902563
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    Identifiers

    Mathematics Subject Classification ID
    49L20
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    93E20
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    60J75
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    91G10
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    zbMATH DE Number
    6328012
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    OpenAlex ID
    W2082750899
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