Local Perturbation Analysis of the Stochastic Matrix Riccati Equation with Applications in Finance
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Publisher
Springer International Publishing
Link
http://link.springer.com/content/pdf/10.1007/978-3-319-65530-7_1
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4. Ni, Y.-H., Li, X., Zhang, J.-F.: Linear-quadratic control of discrete-time stochastic systems with indefinite weight matrices and mean-field terms. In: Preprints of the 19th World IFAC Congress Cape Town, South Africa, vol. 24–29, pp. 9750–9755 (2014)
5. Rami, M.A., Moore, J.B., Zhou, X.: Indefinite stochastic linear quadratic control and generalized differential Riccati equation. SIAM J. Control Optim. 40, 1296–1311 (2001)
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