Constrained LQ problem with a random jump and application to portfolio selection (Q1624199)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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