A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Management Science and Operations Research,Control and Optimization
Link
http://link.springer.com/article/10.1007/s10957-017-1159-3/fulltext.html
Reference21 articles.
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3. Zhang, X., Elliott, R.J., Siu, T.K.: A stochastic maximum principle for a Markov regime-switching jump-diffusion model and an application to finance. SIAM J. Control Optim. 50, 964–990 (2012)
4. Zhou, X.Y., Yin, G.: Markowitz’s mean-variance portfolio selection with regime-switching: a continuous-time model. SIAM J. Control Optim. 42, 1466–1482 (2003)
5. Mohammed, S.E.A.: Stochastic Functional Differential Equations. Pitman, London (1984)
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