Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations

DOI10.1137/15M1052457zbMath1407.91230arXiv1512.04583OpenAlexW2964169776MaRDI QIDQ4610156

Yusong Li, Harry Zheng

Publication date: 5 April 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.04583

zbMATH Keywords

random coefficientsconvex dualitycontrol constraintsstochastic linear quadratic controlprimal and dual FBSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80) Duality theory (optimization) (49N15) Portfolio theory (91G10) Linear optimal control problems (49N05)

Related Items (2)

A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management ⋮ Backward Stackelberg Differential Game with Constraints: A Mixed Terminal-Perturbation and Linear-Quadratic Approach

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