Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations (Q4610156): Difference between revisions

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Latest revision as of 09:27, 30 July 2024

scientific article; zbMATH DE number 6856519
Language Label Description Also known as
English
Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations
scientific article; zbMATH DE number 6856519

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    Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations (English)
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    5 April 2018
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    convex duality
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    primal and dual FBSDEs
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    stochastic linear quadratic control
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    random coefficients
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    control constraints
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