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A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type.

Xin ZhangZhongyang SunJie Xiong
Published in: SIAM J. Control. Optim. (2018)
Keyphrases
  • diffusion model
  • markov chain
  • markov random field
  • markov processes
  • multiscale
  • steady state
  • anisotropic diffusion
  • pairwise
  • diffusion models
  • laplace transform