Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance
type: Item
instance of: scholarly article
title: Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance
zbMATH Open document ID: 1401.93226
author: Siyu Lv
author: Zhen Wu
published in: Chinese Annals of Mathematics. Series B
publication date: 2018-11-15T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 90C39
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 6979969
zbMATH Keywords: stochastic maximum principle
zbMATH Keywords: dynamic programming principle
zbMATH Keywords: forward-backward stochastic differential equation
zbMATH Keywords: regime switching
zbMATH Keywords: jump diffusion
MaRDI profile type: Publication
full work available at URL: s11401-018-0095-3
OpenAlex ID: W2900882413
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DOI: 10.1007/S11401-018-0095-3
description: scientific article; zbMATH DE number 6979969