Sufficient stochastic maximum principle in a regime-switching diffusion model
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Publication:649123
DOI10.1007/s00245-010-9130-9zbMath1245.49037arXiv1007.3412OpenAlexW3102013377MaRDI QIDQ649123
Publication date: 30 November 2011
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1007.3412
Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)
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