A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance

Title
A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance
Authors
Keywords
Stochastic maximum principle, Regime switching, Stochastic delay equations, Anticipated backward stochastic differential equations, Jump-diffusions, Optimal consumption, 93E20, 91G80, 60J75
Journal
Publisher
Springer Nature
Online
2017-08-26
DOI
10.1007/s10957-017-1159-3

Ask authors/readers for more resources

Reprint

Contact the author

Find Funding. Review Successful Grants.

Explore over 25,000 new funding opportunities and over 6,000,000 successful grants.

Explore

Ask a Question. Answer a Question.

Quickly pose questions to the entire community. Debate answers and get clarity on the most important issues facing researchers.

Get Started