49 citations · 153 across the 6 of their papers we have counts for
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math.OC2010★ 49 cited
Sufficient stochastic maximum principle in a regime-switching diffusion model
Catherine Donnelly
We prove a sufficient stochastic maximum principle for the optimal control of a regime-switching diffusion model. We show the connection to dynamic programming and we apply the res…
q-fin.PR2010★ 2 cited
Good-deal bounds in a regime-switching diffusion market
Catherine Donnelly
We consider option pricing in a regime-switching diffusion market. As the market is incomplete, there is no unique price for a derivative. We apply the good-deal pricing bounds ide…