Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance (Q1624194)
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scientific article; zbMATH DE number 6979969
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance |
scientific article; zbMATH DE number 6979969 |
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Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance (English)
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15 November 2018
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stochastic maximum principle
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dynamic programming principle
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forward-backward stochastic differential equation
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regime switching
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jump diffusion
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