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

Emel Savku, Gerhard-Wilhelm Weber. A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance. J. Optimization Theory and Applications, 179(2):696-721, 2018. [doi]

Abstract

Abstract is missing.