Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming (Q1743531)
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scientific article; zbMATH DE number 6859630
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| English | Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming |
scientific article; zbMATH DE number 6859630 |
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Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming (English)
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13 April 2018
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stochastic maximum principle
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regime-switching
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forward-backward stochastic differential equations
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dynamic programming
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recursive utility optimization
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0.9328398704528807
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0.9265450835227966
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0.9222413897514344
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0.9195517301559448
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