Constrained stochastic LQ control with regime switching and application to portfolio selection
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Publication:2117450
DOI10.1214/21-AAP1684zbMath1484.91425arXiv2004.11832MaRDI QIDQ2117450
Ying Hu, Zuo Quan Xu, Xiao-Min Shi
Publication date: 21 March 2022
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2004.11832
existenceuniquenessregime switchingmean-variance portfolio selectionconstrained stochastic LQ controlextended stochastic Riccati equation
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10) Portfolio theory (91G10)
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