Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance
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Publication:1624194
DOI10.1007/s11401-018-0095-3zbMath1401.93226OpenAlexW2900882413MaRDI QIDQ1624194
Publication date: 15 November 2018
Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11401-018-0095-3
regime switchingstochastic maximum principleforward-backward stochastic differential equationjump diffusiondynamic programming principle
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming (90C39) Optimal stochastic control (93E20) Financial applications of other theories (91G80)
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