Dynamic programming for semi-Markov modulated SDEs
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- DYNAMIC PROGRAMMING AND A NEW FORMALISM IN THE CALCULUS OF VARIATIONS
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- On optimal control problems of a class of impulsive switching systems with terminal states constraints
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- On the Theory of Dynamic Programming
- Optimal control of stochastic hybrid system with jumps: a numerical approximation
- Option pricing and Esscher transform under regime switching
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- Sufficient Stochastic Maximum Principle for the Optimal Control of Semi-Markov Modulated Jump-Diffusion with Application to Financial Optimization
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Cited in
(7)- Dynamic programming for controlled Markov families: abstractly and over martingale measures
- Dynamic programming for a Markov-switching jump-diffusion
- Optimal control for uncertain random continuous-time systems
- Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy
- A closed-form pricing formula for European options under a multi-factor nonlinear stochastic volatility model with regime-switching
- A boundary control problem for stochastic 2D-Navier-Stokes equations
- An approach for regime-switching stochastic control problems with memory and terminal conditions
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