On Bellman's equations for mean and variance control of a Markov diffusion (Q3585322): Difference between revisions

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+Kac's moment formula and the Feynman-Kac formula for additive functionals of a Markov process
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+Mean-Variance Hedging and Numeraire
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+ON THE SELECTION OF A MARKOV PROCESS FROM A SYSTEM OF PROCESSES AND THE CONSTRUCTION OF QUASI-DIFFUSION PROCESSES
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+Dynamic programming and mean-variance hedging
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+Mean-variance hedging for general claims
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+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
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