In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance.
Dec 14, 2015 · Abstract:In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance.
Abstract. In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance.
Abstract. In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance.
May 22, 2017 · Abstract. In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance.
In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance.
adjoint processes from forward backward stochastic differential equations. Li and Zheng [18] stated the necessary and sufficient optimality conditions for ...
In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance. We model the asset dynamics with random ...
Jul 24, 2024 · This paper is concerned with an optimal control problem for a forward-backward stochastic differential equation (FBSDE, for short) with a recursive cost ...
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Constrained quadratic risk minimization via forward and backward stochastic differential equations, Li, Y; Zheng, H. 4-Dec-2015, Constrained Rough Paths, Cass ...