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Issue Date
Title
Author(s)
2012
Markovian regime-switching market completion using additional Markov jump assets
Zhang, X.
;
Elliott, R.
;
Siu, T.
;
Guo, J.
2012
A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
Zhang, X.
;
Elliott, R.
;
Siu, T.
Discover
Author
1
Guo, J.
Subject
1
double martingales
1
dynamic programming
1
jump-diffusion
1
marked point processes
1
market completion
1
Markovian regime-switching markets
1
martingale representation
1
mean-variance portfolio selection
1
regime switching
1
stochastic maximum principle
.
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Date issued
2
2012