Constrained stochastic recursive linear quadratic optimal control problems and application to finance (Q6997915)
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scientific article; zbMATH DE number 8026598
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| English | Constrained stochastic recursive linear quadratic optimal control problems and application to finance |
scientific article; zbMATH DE number 8026598 |
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Constrained stochastic recursive linear quadratic optimal control problems and application to finance (English)
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11 April 2025
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efficient portfolio
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forward-backward stochastic differential equations
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mean-variance portfolio selection
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Riccati equation
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recursive utilities
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stochastic linear quadratic optimal control
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