Dynamic programming for a Markov-switching jump-diffusion
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Publication:396027
DOI10.1016/J.CAM.2014.01.021zbMATH Open1293.49055OpenAlexW2082750899MaRDI QIDQ396027FDOQ396027
Authors: Gerhard-Wilhelm Weber, N. Azevedo, D. Pinheiro 
Publication date: 8 August 2014
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2014.01.021
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Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
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Cited In (26)
- Systems theory and analysis of the implementation of non pharmaceutical policies for the mitigation of the COVID-19 pandemic
- Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
- Stochastic linear quadratic control problem of switching systems with constraints
- Dynamic programming for semi-Markov modulated SDEs
- Determining the optimal strategies for discrete control problems on stochastic networks with discounted costs
- Optimal consumption and investment for a large investor: an intensity-based control framework
- Profit optimization for cattle growing in a randomly fluctuating environment
- Optimal life-insurance selection and purchase within a market of several life-insurance providers
- Optimal consumption and portfolio with ambiguity to Markovian switching
- A stochastic control approach to bid-ask price modelling
- Control improvement for jump-diffusion processes with applications to finance
- Loop-based conic multivariate adaptive regression splines is a novel method for advanced construction of complex biological networks
- Approaching towards sustainable supply chain under the spotlight of business intelligence
- Stochastic control with inhomogeneous regime switching: application to consumption and investment with unemployment and reemployment
- Dynamic control of the investment portfolio in the jump-diffusion financial market with regime switching
- A non-exponential discounting time-inconsistent stochastic optimal control problem for jump-diffusion
- Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy
- Mutual aid insurance with a three-state Markov chain
- Value functions in a regime switching jump diffusion with delay market model
- Stochastic optimal control on impulse dividend model with stochastic returns
- Continuous time mean-variance-utility portfolio problem and its equilibrium strategy
- Optimal portfolio and consumption for a Markovian regime-switching jump-diffusion process
- Robust optimal R\&D investment under technical uncertainty in a regime-switching environment
- Dynamic programming principle for stochastic control problems driven by general Lévy noise
- A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
- A variational formula for nonzero-sum stochastic differential games of FBSDEs and applications
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