Pages that link to "Item:Q1766047"

The following pages link to Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging. (Q1766047):

Displaying 32 items.

• Continuous-time mean-variance portfolio selection with random horizon in an incomplete market (Q286277) (← links)
• The stochastic linear quadratic optimal control problem in Hilbert spaces: a polynomial chaos approach (Q325340) (← links)
• Stochastic \(H_2/H_\infty\) control with random coefficients (Q379901) (← links)
• Hedging with temporary price impact (Q513749) (← links)
• A parametric optimization approach for uncertain linear quadratic models (Q682843) (← links)
• Harmonic analysis of stochastic equations and backward stochastic differential equations (Q843710) (← links)
• Backward stochastic Riccati equations and infinite horizon L-Q optimal control with infinite dimensional state space and random coefficients (Q946222) (← links)
• Constrained LQ problem with a random jump and application to portfolio selection (Q1624199) (← links)
• Equilibrium returns with transaction costs (Q1650939) (← links)
• Cone-constrained continuous-time Markowitz problems (Q1948703) (← links)
• A numerical approximation framework for the stochastic linear quadratic regulator on Hilbert spaces (Q2013932) (← links)
• Constrained stochastic LQ optimal control problem with random coefficients on infinite time horizon (Q2020318) (← links)
• Equilibrium asset pricing with transaction costs (Q2022762) (← links)
• Constrained stochastic LQ control with regime switching and application to portfolio selection (Q2117450) (← links)
• A maximum principle for a stochastic control problem with multiple random terminal times (Q2128538) (← links)
• Control variable parameterization and optimization method for stochastic linear quadratic models (Q2170327) (← links)
• Linear-quadratic mixed Stackelberg-Nash stochastic differential game with major-minor agents (Q2234290) (← links)
• Optimal stochastic regulators with state-dependent weights (Q2278529) (← links)
• On well-posedness of forward-backward SDEs -- a unified approach (Q2354895) (← links)
• Uncertain optimal control of linear quadratic models with jump (Q2450483) (← links)
• A stochastic linear-quadratic problem with Lévy processes and its application to finance (Q2469493) (← links)
• Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system (Q3383275) (← links)
• Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint (Q4604636) (← links)
• Linear-quadratic optimal control under non-Markovian switching (Q4607794) (← links)
• Optimal hedging for fund and insurance managers with partially observable investment flows (Q4683056) (← links)
• The piecewise parametric optimal control of uncertain linear quadratic models (Q5025935) (← links)
• Backward Stochastic Riccati Equation with Jumps Associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients (Q5212950) (← links)
• Making mean-variance hedging implementable in a partially observable market (Q5247228) (← links)
• Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients (Q5252510) (← links)
• (Q5868988) (← links)
• Asset pricing with general transaction costs: Theory and numerics (Q6054360) (← links)
• Stochastic linear-quadratic control with a jump and regime switching on a random horizon (Q6074828) (← links)