Constrained LQ problem with a random jump and application to portfolio selection (Q1624199): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 05:08, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Constrained LQ problem with a random jump and application to portfolio selection |
scientific article |
Statements
Constrained LQ problem with a random jump and application to portfolio selection (English)
0 references
15 November 2018
0 references
backward stochastic Riccati equation
0 references
default time
0 references
mean-variance problem
0 references
