Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection

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Publication:5317138

DOI10.1137/S0363012904441969zbMath1210.93082OpenAlexW1994712972MaRDI QIDQ5317138

Ying Hu, Xun Yu Zhou

Publication date: 15 September 2005

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012904441969




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