Pages that link to "Item:Q5317138"
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The following pages link to Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection (Q5317138):
Displaying 50 items.
- Indefinite LQ optimal control with equality constraint for discrete-time uncertain systems (Q346624) (← links)
- Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems (Q450712) (← links)
- Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization (Q490850) (← links)
- Mean-variance portfolio selection of cointegrated assets (Q550847) (← links)
- Numerical methods for portfolio selection with bounded constraints (Q732165) (← links)
- Harmonic analysis of stochastic equations and backward stochastic differential equations (Q843710) (← links)
- Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization (Q885779) (← links)
- Constrained LQ problem with a random jump and application to portfolio selection (Q1624199) (← links)
- Mean-variance portfolio selection in a complete market with unbounded random coefficients (Q1689364) (← links)
- Continuous-time Markowitz's model with constraints on wealth and portfolio (Q1709945) (← links)
- Indefinite LQ optimal control with process state inequality constraints for discrete-time uncertain systems (Q1717001) (← links)
- Discrete-time indefinite stochastic linear quadratic optimal control with second moment constraints (Q1718028) (← links)
- Cone-constrained continuous-time Markowitz problems (Q1948703) (← links)
- Dividend optimization for jump-diffusion model with solvency constraints (Q1984693) (← links)
- Linear quadratic optimal control problems with fixed terminal states and integral quadratic constraints (Q2019991) (← links)
- Constrained stochastic LQ optimal control problem with random coefficients on infinite time horizon (Q2020318) (← links)
- Mixed optimal control for discrete-time stochastic systems with random coefficients (Q2107622) (← links)
- Constrained stochastic LQ control with regime switching and application to portfolio selection (Q2117450) (← links)
- Social optima in mean field linear-quadratic-Gaussian models with control input constraint (Q2124496) (← links)
- A general linear quadratic stochastic control and information value (Q2166430) (← links)
- On continuous-time constrained stochastic linear-quadratic control (Q2174000) (← links)
- Mean-variance asset-liability management problem under non-Markovian regime-switching models (Q2187333) (← links)
- Mixed linear quadratic stochastic differential leader-follower game with input constraint (Q2238958) (← links)
- Global solutions of stochastic Stackelberg differential games under convex control constraint (Q2242947) (← links)
- Partially observed time-inconsistency recursive optimization problem and application (Q2247911) (← links)
- Mean field game for linear-quadratic stochastic recursive systems (Q2278541) (← links)
- Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem (Q2661546) (← links)
- Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information (Q2674938) (← links)
- Survey on multi-period mean-variance portfolio selection model (Q2676167) (← links)
- Bang-bang control for a class of optimal stochastic control problems with symmetric cost functional (Q2681390) (← links)
- A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim (Q2797756) (← links)
- ARBITRAGE-FREE MULTIFACTOR TERM STRUCTURE MODELS: A THEORY BASED ON STOCHASTIC CONTROL (Q2851559) (← links)
- Linear quadratic mean field game with control input constraint (Q4554120) (← links)
- Linear-Quadratic-Gaussian Mixed Mean-Field Games with Heterogeneous Input Constraints (Q4578001) (← links)
- Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations (Q4610156) (← links)
- Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints (Q4906508) (← links)
- BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM (Q4906533) (← links)
- Constrained stochastic LQ control on infinite time horizon with regime switching (Q5024340) (← links)
- Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models (Q5045197) (← links)
- Backward Stackelberg Differential Game with Constraints: A Mixed Terminal-Perturbation and Linear-Quadratic Approach (Q5081091) (← links)
- (Q5134861) (← links)
- General Linear Quadratic Optimal Stochastic Control Problem Driven by a Brownian Motion and a Poisson Random Martingale Measure with Random Coefficients (Q5416838) (← links)
- Risk-sensitive mean field games with major and minor players (Q5878126) (← links)
- Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model (Q5880052) (← links)
- Stochastic linear-quadratic control with a jump and regime switching on a random horizon (Q6074828) (← links)
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information (Q6092929) (← links)
- Infinite horizon Stackelberg differential games with random coefficients under control input constraint (Q6130791) (← links)
- A class of optimal control problems of forward-backward systems with input constraint (Q6145055) (← links)
- A unified approach to linear-quadratic-Gaussian mean-field team: homogeneity, heterogeneity and quasi-exchangeability (Q6165241) (← links)
- Constrained Monotone Mean-Variance Problem with Random Coefficients (Q6169625) (← links)