Martingale Representation and Admissible Portfolio Process with Regime Switching
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Publication:3081441
DOI10.1080/07362994.2011.532027zbMath1232.91629OpenAlexW2069642940MaRDI QIDQ3081441
Chuin Ching Liew, Tak Kuen Siu
Publication date: 8 March 2011
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2011.532027
Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)
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