A stochastic linear-quadratic problem with Lévy processes and its application to finance (Q2469493)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic linear-quadratic problem with Lévy processes and its application to finance |
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A stochastic linear-quadratic problem with Lévy processes and its application to finance (English)
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6 February 2008
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linear-quadratic regulators
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Lévy process
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backward stochastic (Riccati) differential equation
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regular and singular case
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