Markovian regime-switching market completion using additional Markov jump assets

DOI10.1093/IMAMAN/DPR018zbMath1280.91078OpenAlexW2000977401MaRDI QIDQ2912029

Xin Zhang, Tak Kuen Siu, Robert J. Elliott, Jun-Yi Guo

Publication date: 13 September 2012

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpr018

zbMATH Keywords

marked point processesmartingale representationmarket completiondouble martingalesMarkovian regime-switching markets

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (4)

Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach ⋮ A note on chaotic and predictable representations for Itô–Markov additive processes ⋮ Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system ⋮ Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system

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