Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint (Q4604636): Difference between revisions

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+Optimal position targeting with stochastic linear-quadratic costs
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+BSDEs with Singular Terminal Condition and a Control Problem with Constraints
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+Linear Quadratic Optimal Stochastic Control with Random Coefficients
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+Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
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+Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
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+Backward stochastic differential equations with singular terminal condition
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+THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
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