Constrained stochastic LQ control with regime switching and application to portfolio selection
Author:
Affiliation:
1. CNRS, Université de Rennes
2. School of Mathematics and Quantitative Economics, Shandong University of Finance and Economics
3. Department of Applied Mathematics, The Hong Kong Polytechnic University
Publisher
Institute of Mathematical Statistics
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference28 articles.
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3. CVITANIĆ, J. and ZHANG, J. (2013). Contract Theory in Continuous-Time Models. Springer Finance. Springer, Heidelberg.
4. CZICHOWSKY, C. and SCHWEIZER, M. (2013). Cone-constrained continuous-time Markowitz problems. Ann. Appl. Probab. 23 764–810.
5. DU, K. (2015). Solvability conditions for indefinite linear quadratic optimal stochastic control problems and associated stochastic Riccati equations. SIAM J. Control Optim. 53 3673–3689.
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