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"A Markovian regime-switching stochastic differential game for portfolio ..."

Robert J. Elliott, Tak Kuen Siu (2008)

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DOI: 10.1109/ACC.2008.4586625

access: closed

type: Conference or Workshop Paper

metadata version: 2021-10-14

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  - conf/amcc/ElliottS08
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Robert J. Elliott, Tak Kuen Siu:
A Markovian regime-switching stochastic differential game for portfolio risk minimization. ACC 2008: 1017-1022

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