A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance
type: Item
instance of: scholarly article
title: A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance
zbMATH Open document ID: 1402.93269
author: Emel Savku
author: Gerhard-Wilhelm Weber
published in: Journal of Optimization Theory and Applications
publication date: 2018-11-27T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49K45
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H15
zbMATH DE Number: 6985479
zbMATH Keywords: stochastic maximum principle
zbMATH Keywords: regime switching
zbMATH Keywords: stochastic delay equations
zbMATH Keywords: anticipated backward stochastic differential equations
zbMATH Keywords: jump-diffusions
zbMATH Keywords: optimal consumption
MaRDI profile type: Publication
full work available at URL: s10957-017-1159-3
OpenAlex ID: W2746348292
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DOI: 10.1007/S10957-017-1159-3
description: scientific article; zbMATH DE number 6985479