Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem (Q2420788): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem |
scientific article |
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Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem (English)
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7 June 2019
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time-inconsistent linear-quadratic control
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stochastic coefficients and random jumps
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equilibrium control
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forward-backward stochastic differential equation
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mean-variance portfolio selection
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