A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications (Q4646819)
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scientific article; zbMATH DE number 6996634
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| English | A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications |
scientific article; zbMATH DE number 6996634 |
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A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications (English)
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21 December 2018
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risk-sensitive control
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regime-switching
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jump-diffusion
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stochastic maximum principle
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asset management
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0.9196357131004332
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0.8970609307289124
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0.8776419162750244
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0.8768224120140076
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