Alvarez E., Luis H. R.; Sillanpää, Wiljami Optimal stopping and impulse control in the presence of an anticipated regime switch. (English) Zbl 07754805 Math. Methods Oper. Res. 98, No. 2, 205-230 (2023). MSC: 49N25 PDFBibTeX XMLCite \textit{L. H. R. Alvarez E.} and \textit{W. Sillanpää}, Math. Methods Oper. Res. 98, No. 2, 205--230 (2023; Zbl 07754805) Full Text: DOI OA License
Leoff, Elisabeth; Ruderer, Leonie; Sass, Jörn Signal-to-noise matrix and model reduction in continuous-time hidden Markov models. (English) Zbl 1493.91113 Math. Methods Oper. Res. 95, No. 2, 327-359 (2022). MSC: 91G10 91G15 60G35 PDFBibTeX XMLCite \textit{E. Leoff} et al., Math. Methods Oper. Res. 95, No. 2, 327--359 (2022; Zbl 1493.91113) Full Text: DOI
Bi, Junna; Liang, Zhibin; Yuen, Kam Chuen Optimal mean-variance investment/reinsurance with common shock in a regime-switching market. (English) Zbl 1429.62459 Math. Methods Oper. Res. 90, No. 1, 109-135 (2019). MSC: 62P05 91G05 91G10 93E20 PDFBibTeX XMLCite \textit{J. Bi} et al., Math. Methods Oper. Res. 90, No. 1, 109--135 (2019; Zbl 1429.62459) Full Text: DOI
Menoukeu-Pamen, Olivier; Momeya, Romuald Hervé A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications. (English) Zbl 1377.93178 Math. Methods Oper. Res. 85, No. 3, 349-388 (2017). MSC: 93E20 49K45 91G80 91G10 60G51 60H10 60J75 91B30 PDFBibTeX XMLCite \textit{O. Menoukeu-Pamen} and \textit{R. H. Momeya}, Math. Methods Oper. Res. 85, No. 3, 349--388 (2017; Zbl 1377.93178) Full Text: DOI arXiv
Janczura, Joanna Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach. (English) Zbl 1287.91143 Math. Methods Oper. Res. 79, No. 1, 1-30 (2014). Reviewer: Pavel Stoynov (Sofia) MSC: 91G20 60J20 91B30 62M05 PDFBibTeX XMLCite \textit{J. Janczura}, Math. Methods Oper. Res. 79, No. 1, 1--30 (2014; Zbl 1287.91143) Full Text: DOI Link
Weron, Rafał Heavy-tails and regime-switching in electricity prices. (English) Zbl 1163.91362 Math. Methods Oper. Res. 69, No. 3, 457-473 (2009). MSC: 91B24 PDFBibTeX XMLCite \textit{R. Weron}, Math. Methods Oper. Res. 69, No. 3, 457--473 (2009; Zbl 1163.91362) Full Text: DOI Link