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"A Stochastic Maximum Principle for a Markov Regime-Switching ..."

Xin Zhang, Robert J. Elliott, Tak Kuen Siu (2012)

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DOI: 10.1137/110839357

access: closed

type: Journal Article

metadata version: 2020-07-09

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  dblp key:
  - journals/siamco/0012ES12
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  - https://dblp.org/rec/journals/siamco/0012ES12
Xin Zhang, Robert J. Elliott, Tak Kuen Siu:
A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance. SIAM J. Control. Optim. 50(2): 964-990 (2012)

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