Continuous-time mean-variance portfolio selection with random horizon in an incomplete market

DOI10.1016/J.AUTOMATICA.2016.02.017zbMath1338.93405OpenAlexW2301659145MaRDI QIDQ286277

Zhen Wu, Siyu Lv, Zhi-Yong Yu

Publication date: 20 May 2016

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2016.02.017

zbMATH Keywords

backward stochastic differential equationBMO-martingalemean-variance modelstochastic LQ control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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