Pages that link to "Item:Q2903513"
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The following pages link to A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance (Q2903513):
Displaying 50 items.
- Stochastic recursive optimal control problem with time delay and applications (Q256324) (← links)
- Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach (Q262012) (← links)
- The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem (Q392462) (← links)
- Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach (Q482662) (← links)
- Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance (Q1624194) (← links)
- A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance (Q1626520) (← links)
- Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information (Q1686663) (← links)
- Integration by parts and martingale representation for a Markov chain (Q1724128) (← links)
- Fully coupled forward-backward stochastic differential equations on Markov chains (Q1725510) (← links)
- Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming (Q1743531) (← links)
- Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models (Q2006622) (← links)
- Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution (Q2022311) (← links)
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921) (← links)
- Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system (Q2045127) (← links)
- Rumour propagation: an operational research approach by computational and information theory (Q2089329) (← links)
- Linear-quadratic stochastic leader-follower differential games for Markov jump-diffusion models (Q2103699) (← links)
- Maximum principle for discrete-time stochastic optimal control problem and stochastic game (Q2119451) (← links)
- A mean-field optimal control for fully coupled forward-backward stochastic control systems with Lévy processes (Q2121199) (← links)
- Threshold dynamics in a stochastic chemostat model under regime switching (Q2158083) (← links)
- Positive-pressure ventilation: modeling, validation, and stochastic control of mean-field type (Q2165966) (← links)
- Maximum principle for discrete-time stochastic control problem of mean-field type (Q2166009) (← links)
- The maximum principle for stochastic control problem with Markov chain in progressive structure (Q2169795) (← links)
- Mean-field-type games with jump and regime switching (Q2175351) (← links)
- Mean-variance asset-liability management problem under non-Markovian regime-switching models (Q2187333) (← links)
- Optimal portfolio execution problem with stochastic price impact (Q2288736) (← links)
- Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models (Q2340989) (← links)
- Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model (Q2358467) (← links)
- Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market (Q2398579) (← links)
- A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications (Q2407985) (← links)
- Variance swap pricing under Markov-modulated jump-diffusion model (Q2657462) (← links)
- Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market (Q2673823) (← links)
- On the estimation of regime-switching Lévy models (Q2691688) (← links)
- Itô's formula for flows of measures on semimartingales (Q2698485) (← links)
- Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching (Q2800474) (← links)
- A tree approach to options pricing under regime-switching jump diffusion models (Q2804506) (← links)
- A stochastic maximum principle for backward control systems with random default time (Q2871780) (← links)
- Sufficient Stochastic Maximum Principle for the Optimal Control of Semi-Markov Modulated Jump-Diffusion with Application to Financial Optimization (Q2937458) (← links)
- A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type (Q3174750) (← links)
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system (Q3383275) (← links)
- The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system (Q4622808) (← links)
- A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications (Q4646819) (← links)
- A stochastic maximum principle for backward control systems with random default time (Q5022829) (← links)
- A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching (Q5041366) (← links)
- Equilibrium strategies for time-inconsistent stochastic switching systems (Q5107969) (← links)
- OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS (Q5164391) (← links)
- Linear-Quadratic Stochastic Stackelberg Differential Games for Jump-Diffusion Systems (Q5858099) (← links)
- A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING (Q5866978) (← links)
- Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System (Q6042799) (← links)
- Stochastic maximum principle for hybrid optimal control problems under partial observation (Q6069672) (← links)
- Pointwise second-order necessary conditions for stochastic optimal control with jump diffusions (Q6084118) (← links)
