Constrained LQ problem with a random jump and application to portfolio selection (Q1624199): Difference between revisions

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Latest revision as of 09:21, 17 July 2024

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Constrained LQ problem with a random jump and application to portfolio selection
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    Constrained LQ problem with a random jump and application to portfolio selection (English)
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    15 November 2018
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    backward stochastic Riccati equation
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    default time
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    mean-variance problem
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