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Constrained LQ problem with a random jump and application to portfolio selection (Q1624199)

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Language	Label	Description	Also known as
English	Constrained LQ problem with a random jump and application to portfolio selection	scientific article

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scholarly article

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Constrained LQ problem with a random jump and application to portfolio selection (English)

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Chinese Annals of Mathematics. Series B

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publication date

15 November 2018

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full work available at URL

https://arxiv.org/abs/1605.05825

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zbMATH Keywords

backward stochastic Riccati equation

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default time

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mean-variance problem

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MaRDI profile type

MaRDI publication profile

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CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP

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Mathematical methods for financial markets.

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Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations

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What happens after a default: the conditional density approach

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Multi-dimensional backward stochastic differential equations of diagonally quadratic generators

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Indefinite Stochastic Riccati Equations

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Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection

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Partial Information Linear Quadratic Control for Jump Diffusions

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Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI

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Progressive enlargement of filtrations and backward stochastic differential equations with jumps

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Backward stochastic differential equations and partial differential equations with quadratic growth.

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Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.

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General Linear Quadratic Optimal Stochastic Control Problem Driven by a Brownian Motion and a Poisson Random Martingale Measure with Random Coefficients

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

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Adapted solution of a backward stochastic differential equation

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General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations

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Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients

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Identifiers

zbMATH Open document ID

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10.1007/s11401-018-0099-z

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:1624199

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