A regime-switching model with applications to finance: Markovian and non-Markovian cases

DOI10.1007/978-3-030-54576-5_13zbMath1479.91365OpenAlexW3101447555MaRDI QIDQ2058268

Gerhard-Wilhelm Weber, Emel Savku

Publication date: 7 December 2021

Full work available at URL: https://doi.org/10.1007/978-3-030-54576-5_13

zbMATH Keywords

time delaystochastic optimal controlstochastic gamesfinanceanticipated BSDEsMarkov regime-switches

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)

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