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Coupling and tracking of regime-switching martingales - MaRDI portal

Coupling and tracking of regime-switching martingales (Q2515905)

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Coupling and tracking of regime-switching martingales
scientific article

    Statements

    title
    Coupling and tracking of regime-switching martingales (English)
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    author
    S. D. Jacka
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    publication date
    7 August 2015
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    zbMATH Keywords
    regime-switching martingales
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    coupling
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    Brownian motion
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    Bellman principle
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    continuous-time Markov chains
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    stochastic integrals
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    Identifiers

    DOI
    10.1214/EJP.v20-2307
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    Mathematics Subject Classification ID
    60G44
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    60J65
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    60H05
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    60J27
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    93E20
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    zbMATH DE Number
    6471516
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    arXiv ID
    1209.0180
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    OpenAlex ID
    W2056898719
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