An integration by parts formula in a Markovian regime switching model and application to sensitivity analysis

DOI10.1080/07362994.2017.1339613zbMath1373.60079OpenAlexW2730725123MaRDI QIDQ4588301

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Publication date: 2 November 2017

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2017.1339613

zbMATH Keywords

sensitivity analysisMarkov chainsregime switchingintegration by parts

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Free boundary problems for PDEs (35R35) Applications of continuous-time Markov processes on discrete state spaces (60J28)

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