Dynamic programming for a Markov-switching jump-diffusion
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Cited in
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- Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
- Stochastic linear quadratic control problem of switching systems with constraints
- Determining the optimal strategies for discrete control problems on stochastic networks with discounted costs
- Dynamic programming for semi-Markov modulated SDEs
- Optimal consumption and investment for a large investor: an intensity-based control framework
- Profit optimization for cattle growing in a randomly fluctuating environment
- Optimal life-insurance selection and purchase within a market of several life-insurance providers
- Optimal consumption and portfolio with ambiguity to Markovian switching
- Control improvement for jump-diffusion processes with applications to finance
- A stochastic control approach to bid-ask price modelling
- Loop-based conic multivariate adaptive regression splines is a novel method for advanced construction of complex biological networks
- Approaching towards sustainable supply chain under the spotlight of business intelligence
- Stochastic control with inhomogeneous regime switching: application to consumption and investment with unemployment and reemployment
- Dynamic control of the investment portfolio in the jump-diffusion financial market with regime switching
- A non-exponential discounting time-inconsistent stochastic optimal control problem for jump-diffusion
- Two-player zero-sum stochastic differential games with Markov-switching jump-diffusion dynamics
- Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy
- Mutual aid insurance with a three-state Markov chain
- Robust optimal control for hidden Markovian-switching jump diffusions: the finite-horizon payoff
- Value functions in a regime switching jump diffusion with delay market model
- Stochastic optimal control on impulse dividend model with stochastic returns
- On Merton's optimal portfolio problem with sporadic bankruptcy for isoelastic utility
- Continuous time mean-variance-utility portfolio problem and its equilibrium strategy
- Optimal portfolio and consumption for a Markovian regime-switching jump-diffusion process
- Robust optimal R\&D investment under technical uncertainty in a regime-switching environment
- Dynamic programming principle for stochastic control problems driven by general Lévy noise
- A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
- Optimal portfolios with anticipating information on the stochastic interest rate
- A variational formula for nonzero-sum stochastic differential games of FBSDEs and applications
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