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

DOI10.1007/s11401-018-0099-zzbMath1402.93263arXiv1605.05825OpenAlexW2963946012MaRDI QIDQ1624199

Yuchao Dong

Publication date: 15 November 2018

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.05825

zbMATH Keywords

default timemean-variance problembackward stochastic Riccati equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Portfolio theory (91G10)

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