Stochastic linear-quadratic control with a jump and regime switching on a random horizon (Q6074828)
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scientific article; zbMATH DE number 7740192
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| English | Stochastic linear-quadratic control with a jump and regime switching on a random horizon |
scientific article; zbMATH DE number 7740192 |
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Stochastic linear-quadratic control with a jump and regime switching on a random horizon (English)
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19 September 2023
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stochastic linear-quadratic control
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regime switching
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random horizon
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stochastic Riccati equations with jumps
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mean-variance hedging
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0.8431534767150879
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0.8409492373466492
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0.8389562368392944
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0.831894040107727
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0.8260844945907593
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