Risk Minimizing Option Pricing in a Semi-Markov Modulated Market
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- THE DYNAMIC PRICING FOR CALLABLE SECURITIES WITH MARKOV-MODULATED PRICES
- Asymptotic stability in distribution of stochastic systems with semi-Markovian switching
- Almost surely exponential stability of semi‐Markovian switched singular stochastic systems with mode‐dependent ranks
- Dynamic programming for semi-Markov modulated SDEs
- Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes
- Stabilization for switched stochastic systems with semi-Markovian switching signals and actuator saturation
- A Pricing Process with Stochastic Volatility Controlled by a Semi-Markov Process
- Finite-time stability and asynchronous resilient control for Itô stochastic semi-Markovian jump systems
- Sufficient Stochastic Maximum Principle for the Optimal Control of Semi-Markov Modulated Jump-Diffusion with Application to Financial Optimization
- On the monotonicity and constancy of signs of some rational explicit methods for nonlinear systems of ordinary differential equations
- Asymptotic stability of semi-Markov modulated jump diffusions
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- Stochastic Processes with Age-Dependent Transition Rates
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- A system of non-local parabolic PDE and application to option pricing
- Pricing derivatives in a regime switching market with time inhomogenous volatility
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- Stability of stochastic functional differential systems with semi-Markovian switching and Lévy noise by functional Itô's formula and its applications
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- Inference of binary regime models with jump discontinuities
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- Optimal control of Markov processes with age-dependent transition rates
- Stability analysis of semi-Markov switched stochastic systems
- Threshold dynamics and ergodicity of an SIRS epidemic model with semi-Markov switching
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