A nonhomogeneous mean-field linear-quadratic optimal control problem and application (Q2240664)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A nonhomogeneous mean-field linear-quadratic optimal control problem and application |
scientific article |
Statements
A nonhomogeneous mean-field linear-quadratic optimal control problem and application (English)
0 references
4 November 2021
0 references
mean-variance hedging portfolio
0 references
linear-quadratic optimal control problem
0 references
Riccati equation
0 references
mean-field stochastic differential equation
0 references
backward stochastic differential equation
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
