DOI10.1080/24754269.2020.1719356MaRDI QIDQ5880052
Rong-Ming Wang, Jiaqin Wei, Li-Ming Zhang
Publication date: 7 March 2023 Published in: Statistical Theory and Related Fields (Search for Journal in Brave) Full work available at URL: https://doi.org/10.1080/24754269.2020.1719356
zbMATH Keywords
Markov chain; regime-switching; BSDE; mean-variance problem; non-negative constraints
Mathematics Subject Classification ID
62-XX: Statistics