Constrained stochastic recursive linear quadratic optimal control problems and application to finance

DOI10.1007/S10255-024-1157-9MaRDI QIDQ6997915zbMATH OpenFDO

Authors Liangquan Zhang, Qing Zhou

Publication date 11 April 2025

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10255-024-1157-9

zbMATH Keywords

efficient portfolioforward-backward stochastic differential equationsmean-variance portfolio selectionrecursive utilitiesRiccati equationstochastic linear quadratic optimal control

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Optimal stochastic control (93E20)

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