Maximum Principle for Markov Regime-Switching Forward-Backward Stochastic Control System with Jumps and Relation to Dynamic Programming

Zhongyang Sun, Junyi Guo, Xin Zhang. Maximum Principle for Markov Regime-Switching Forward-Backward Stochastic Control System with Jumps and Relation to Dynamic Programming. J. Optimization Theory and Applications, 176(2):319-350, 2018. [doi]

Authors

Zhongyang Sun

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Junyi Guo

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Xin Zhang

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