Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models (Q2340989)
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scientific article; zbMATH DE number 6428312
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| English | Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models |
scientific article; zbMATH DE number 6428312 |
Statements
Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models (English)
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21 April 2015
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regime switching stochastic optimal control
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weak stochastic maximum principle
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necessary and sufficient conditions
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Clarke's generalized gradient
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Clarke's normal cone
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measurable selection
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0.8706048130989075
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0.852455735206604
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0.8402888178825378
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0.837781548500061
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0.8373027443885803
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