A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications
DOI10.1007/s00186-017-0574-4zbMath1377.93178arXiv1403.2900OpenAlexW2575679751WikidataQ59522317 ScholiaQ59522317MaRDI QIDQ2407985
Romuald Hervé Momeya, Olivier Menoukeu Pamen
Publication date: 9 October 2017
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1403.2900
stochastic maximum principleforward-backward stochastic differential equationsstochastic differential gamesoptimal investmentMarkov regime-switching
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Cites Work
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