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Dynamic programming for a Markov-switching jump–diffusion · Study

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ArticleDynamic programming for a Markov-switching jump–diffusion

Nuno Azevedo2014

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Articlebronze2014

Dynamic programming for a Markov-switching jump–diffusion

Nuno Azevedo · Diogo Pinheiro · Gerhard‐Wilhelm Weber

51 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Risk and Portfolio Optimization Probability and Risk Models

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1964Risk Aversion in the Small and in the Large 1976Risk Aversion in the Small and in the Large 2005Stochastic Integration and Differential Equations 2005Controlled Markov Processes and Viscosity Solutions 2003Limit Theorems for Stochastic Processes

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Year2014

Typearticle

Published2014-02-05

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations51

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2014.01.021

openalex_workW2082750899

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