Dynamic programming for a Markov-switching jump–diffusion
نویسندگان
چکیده
منابع مشابه
Dynamic programming for a Markov-switching jump-diffusion
We consider an optimal control problem with a deterministic finite horizon and state variable dynamics given by a Markovswitching jump-diffusion stochastic differential equation. Our main results extend the dynamic programming technique to this larger family of stochastic optimal control problems. More specifically, we provide a detailed proof of Bellman’s optimality principle (or dynamic progr...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2014
ISSN: 0377-0427
DOI: 10.1016/j.cam.2014.01.021