References

No references inside the corpus for this window.

Cited by

• 2015Strong Solutions and Strong Feller Properties for Regime-Switching Diffusion Processes in An Infinite State Space56 cited
• 2017Certain properties related to well posedness of switching diffusions51 cited
• 2013Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods48 cited
• 2013Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections45 cited
• 2012Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation42 cited
• 2012Maximum principle for optimal control problems of forward–backward regime-switching system and applications37 cited
• 2021A General Stochastic Maximum Principle for Mean-Field Controls with Regime Switching34 cited
• 2019A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems32 cited
• 2016Mean-field stochastic linear–quadratic optimal control with Markov jump parameters30 cited
• 2012Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes29 cited
• 2019Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing28 cited
• 2012A new tree method for pricing financial derivatives in a regime-switching mean-reverting model