Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations (Q4610156): Difference between revisions
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scientific article; zbMATH DE number 6856519
Language | Label | Description | Also known as |
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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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