A stochastic linear–quadratic problem with Lévy processes and its application to finance

Author:

Mitsui Ken-ichi,Tabata Yoshio

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference25 articles.

1. BSDE associated with Lévy processes and application to PDIE;Bahlali;J. Appl. Math. Stoch. Anal.,2003

2. C. Bender, M. Kohlmann, Optimal superhedging under nonconvex constraints — A BSDE-approach, Universität Konstanz, 2004. Preprint

3. Stochastic Control of Partially Observable Systems;Bensoussan,1992

4. Linear–quadratic optimal stochastic control with random coefficients;Bismut;SIAM J. Control Optim.,1976

5. Stochastic linear quadratic regulators with indefinite control weight costs;Chen;SIAM J. Control Optim.,1998

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