Stochastic maximum principle for partially observed forward-backward stochastic differential equations with jumps and regime switching
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Computer Science
Link
http://link.springer.com/content/pdf/10.1007/s11432-017-9267-0.pdf
Reference19 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 its application to finance. SIAM J Control Optim, 2012, 50: 964–990
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5. Xiong J, Zhou X Y. Mean-variance portfolio selection under partial information. SIAM J Control Optim, 2007, 46: 156–175
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