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Modern Stochastics: Theory and Applications


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Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps

Time-inconsistent stochastic linear-quadratic optimal control problem under non-Markovian regime-switching jump-diffusion model
Ishak Alia, Mohamed Sofiane Alia
https://doi.org/10.3934/mcrf.2023030
Journal:  Mathematical Control and Related Fields Volume 14, Issue 3 (2024), p. 918


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