Constrained LQ problem with a random jump and application to portfolio selection
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Publication:1624199
DOI10.1007/s11401-018-0099-zzbMath1402.93263arXiv1605.05825OpenAlexW2963946012MaRDI QIDQ1624199
Publication date: 15 November 2018
Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1605.05825
Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Portfolio theory (91G10)
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