Expected utility of the drawdown-based regime-switching risk model with state-dependent termination (Q1742717)
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scientific article; zbMATH DE number 6858910
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Expected utility of the drawdown-based regime-switching risk model with state-dependent termination |
scientific article; zbMATH DE number 6858910 |
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Expected utility of the drawdown-based regime-switching risk model with state-dependent termination (English)
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12 April 2018
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drawdown-based regime-switching model
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state-dependent termination
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potential measures
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Brownian motions
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time-homogeneous Markov processes
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