A nonhomogeneous mean-field linear-quadratic optimal control problem and application (Q2240664)
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scientific article; zbMATH DE number 7420305
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| English | A nonhomogeneous mean-field linear-quadratic optimal control problem and application |
scientific article; zbMATH DE number 7420305 |
Statements
A nonhomogeneous mean-field linear-quadratic optimal control problem and application (English)
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4 November 2021
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mean-variance hedging portfolio
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linear-quadratic optimal control problem
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Riccati equation
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mean-field stochastic differential equation
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backward stochastic differential equation
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0.828041672706604
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0.8231810331344604
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0.8202991485595703
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0.8175904154777527
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0.8102191090583801
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