Sufficient Stochastic Maximum Principle in a Regime-Switching Diffusion Model
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Control and Optimization
Link
http://link.springer.com/content/pdf/10.1007/s00245-010-9130-9.pdf
Reference6 articles.
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3. Framstad, N.C., Øksendal, B., Sulem, A.: Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance. J. Optim. Theory Appl. 121(1), 77–98 (2004)
4. Protter, P.E.: Stochastic Integration and Differential Equations, 2nd edn. Springer, New York (2005)
5. Rogers, L.C.G., Williams, D.: Diffusions, Markov Processes and Martingales: Volume 2, Itô Calculus. Cambridge University Press, Cambridge (2000)
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