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A maximum principle for Markov regime-switching forward–backward stochastic differential games and applications
16 references·0 citing·45 second hop
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References

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  • 2004Lévy Processes and Stochastic Calculus2,040 cited
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  • 2010A stochastic differential game for optimal investment of an insurer with regime switching

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49 cited
  • 2013Optimal Control for Stochastic Delay Systems Under Model Uncertainty: A Stochastic Differential Game Approach45 cited
  • 2010About the Pricing Equations in Finance42 cited
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