On Bellman's equations for mean and variance control of a Markov diffusion
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Publication:3585322
DOI10.1080/17442500902723567zbMATH Open1207.60041OpenAlexW2035991706MaRDI QIDQ3585322FDOQ3585322
Authors: Georgios Aivaliotis, A. Yu. Veretennikov 
Publication date: 19 August 2010
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500902723567
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Cites Work
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- ON THE SELECTION OF A MARKOV PROCESS FROM A SYSTEM OF PROCESSES AND THE CONSTRUCTION OF QUASI-DIFFUSION PROCESSES
- Parabolic equations and Itô's stochastic equations with coefficients discontinuous in the time variable
- On polynomial mixing for SDEs with a gradient-type drift
Cited In (5)
- An HJB approach to a general continuous-time mean-variance stochastic control problem
- Title not available (Why is that?)
- Investment strategies and compensation of a mean-variance optimizing fund manager
- Parabolic Bellman equations with risk control
- Degenerate Variance Control of a One-Dimensional Diffusion
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