A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications
Olivier Menoukeu-Pamen, Romuald Hervé Momeya
| Year of publication: |
June 2017
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|---|---|
| Authors: | Menoukeu-Pamen, Olivier ; Momeya, Romuald Hervé |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 85.2017, 3, p. 349-388
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| Subject: | Forward-backward stochastic equations | Markov regime-switching | Stochastic differential games | Optimal investment | Stochastic maximum principle | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Theorie | Theory | Stochastisches Spiel | Stochastic game | Analysis | Mathematical analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-017-0574-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011714509