Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/S0363012904441969
Reference26 articles.
1. Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
2. Linear Quadratic Optimal Stochastic Control with Random Coefficients
3. Mean-Variance Hedging and Stochastic Control: Beyond the Brownian Setting
4. On positive controllers and linear quadratic optimal control problems†
5. Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
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