Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations (Q4610156)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6856519
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations |
scientific article; zbMATH DE number 6856519 |
Statements
Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations (English)
0 references
5 April 2018
0 references
convex duality
0 references
primal and dual FBSDEs
0 references
stochastic linear quadratic control
0 references
random coefficients
0 references
control constraints
0 references
0 references
0 references
0 references
0 references
0.90630937
0 references
0.9045179
0 references
0.89271086
0 references
0 references
0.8899334
0 references
0.8865348
0 references
0.8862629
0 references
0.88597083
0 references
