Mean-variance stochastic control for the relative return process of jump-diffusion models with discretionary stopping (Q2916354)
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scientific article; zbMATH DE number 6090894
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-variance stochastic control for the relative return process of jump-diffusion models with discretionary stopping |
scientific article; zbMATH DE number 6090894 |
Statements
5 October 2012
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jump-diffusion
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the relative return process
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stopping time
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verification theorem
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Riccati equation
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Mean-variance stochastic control for the relative return process of jump-diffusion models with discretionary stopping (English)
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