Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon
DOI10.1007/S11424-023-1272-3zbMath1521.91326arXiv2205.06434MaRDI QIDQ6076813
Publication date: 22 September 2023
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2205.06434
backward stochastic differential equationstochastic LQ controlmean-variance portfolio selectionrandom time horizon
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)
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