Value functions in a regime switching jump diffusion with delay market model
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Publication:2671163
DOI10.3934/math.2021673OpenAlexW3193388873MaRDI QIDQ2671163
Dennis Llemit, Jose Maria L. IV Escaner
Publication date: 3 June 2022
Published in: AIMS Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/math.2021673
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)
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