Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System (Q6042799)
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scientific article; zbMATH DE number 7681924
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| English | Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System |
scientific article; zbMATH DE number 7681924 |
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Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System (English)
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4 May 2023
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stochastic linear-quadratic optimal control
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Markovian regime switching
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random coefficient
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stochastic Riccati equation
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mean-variance portfolio selection
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0.95574224
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0.94304025
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0.9426428
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0.9395627
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0.93436337
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0.93308246
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0.9320736
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