Stochastic linear-quadratic control with a jump and regime switching on a random horizon (Q6074828)
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scientific article; zbMATH DE number 7740192
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic linear-quadratic control with a jump and regime switching on a random horizon |
scientific article; zbMATH DE number 7740192 |
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Stochastic linear-quadratic control with a jump and regime switching on a random horizon (English)
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19 September 2023
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stochastic linear-quadratic control
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regime switching
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random horizon
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stochastic Riccati equations with jumps
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mean-variance hedging
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