A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance (Q2903513)
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scientific article; zbMATH DE number 6064768
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| English | A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance |
scientific article; zbMATH DE number 6064768 |
Statements
10 August 2012
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stochastic maximum principle
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stochastic optimal control problem
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continuous-time Markov regime-switching jump-diffusion
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A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance (English)
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0.9328398704528807
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0.9072481989860536
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0.8902087807655334
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0.8857312202453613
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