Constrained stochastic LQ control with regime switching and application to portfolio selection (Q2117450)
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scientific article
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| English | Constrained stochastic LQ control with regime switching and application to portfolio selection |
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Constrained stochastic LQ control with regime switching and application to portfolio selection (English)
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21 March 2022
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constrained stochastic LQ control
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regime switching
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extended stochastic Riccati equation
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existence
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uniqueness
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mean-variance portfolio selection
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0.9269514083862304
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0.9256065487861632
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0.860849916934967
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