Barrieu, Pauline; Bellamy, Nadine; Sahut, Jean-Michel - In: Applied Mathematical Finance 19 (2012) 6, pp. 495-511
We consider the problem of cost assessment in the context of switching stochastic regimes. The dynamics of a given asset include a background noise, described by a Brownian motion and a random shock, the impact of which is characterized by changes in the coefficient diffusions. A particular...