A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance (Q2903513)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance |
scientific article |
Statements
A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance (English)
0 references
10 August 2012
0 references
stochastic maximum principle
0 references
stochastic optimal control problem
0 references
continuous-time Markov regime-switching jump-diffusion
0 references
