Title: BDSDEs with Markov Chains and applications in Markovian-Switching LQ problems for backward doubly stochastic system
Abstract:In this paper, we introduce a new type of BDSDEs with Markov Chains. We also consider the backward doubly stochastic systems with Markovian-Switching described by the BDSDEs with Markov Chains and obt...In this paper, we introduce a new type of BDSDEs with Markov Chains. We also consider the backward doubly stochastic systems with Markovian-Switching described by the BDSDEs with Markov Chains and obtain the unique optimal control for the stochastic switching LQ problems.Read More
Publication Year: 2011
Publication Date: 2011-07-22
Language: en
Type: article
Access and Citation
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot