Sufficient Stochastic Maximum Principle for the Optimal Control of Semi-Markov Modulated Jump-Diffusion with Application to Financial Optimization (Q2937458)
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scientific article; zbMATH DE number 6385184
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| English | Sufficient Stochastic Maximum Principle for the Optimal Control of Semi-Markov Modulated Jump-Diffusion with Application to Financial Optimization |
scientific article; zbMATH DE number 6385184 |
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Sufficient Stochastic Maximum Principle for the Optimal Control of Semi-Markov Modulated Jump-Diffusion with Application to Financial Optimization (English)
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9 January 2015
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semi-Markov modulated jump diffusions
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sufficient stochastic maximum principle
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dynamic programming
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risk-sensitive control
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quadratic loss minimization
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0.97142476
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0.9615061
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0.94303036
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0.93708515
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0.93249446
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0.92678237
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0.9263286
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0.92576265
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0.9238874
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