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Weak Closed-Loop Solvability of Stochastic Linear Quadratic Optimal Control Problems of Markovian Regime Switching System
16 references·0 citing·34 second hop
Weak Closed-Loop Solvability of Stochastic Linear Quadratic Optimal Control Problems of Markovian Regime Switching System (2020)Weak Closed-Loop Solvability of Stochasti…A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type (2018)A General Stochastic Maximum …Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations (2017)Indefinite stochastic linear-…Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability (2016)Mean-field stochastic linear …Linear Quadratic Stochastic Differential Games: Open-Loop and Closed-Loop Saddle Points (2014)Linear Quadratic Stochastic D…A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance (2012)A Stochastic Maximum Principl…Sufficient Stochastic Maximum Principle in a Regime-Switching Diffusion Model (2011)Sufficient Stochastic Maximum…Portfolio Selection in the Enlarged Markovian Regime-Switching Market (2010)Portfolio Selection in the En…Partial Information Linear Quadratic Control for Jump Diffusions (2008)Partial Information Linear Qu…Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits (2004)Markowitz's Mean-Variance Por…Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Markowitz's Mean-Variance Por…Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints (2002)Dynamic Mean-Variance Portfol…Stochastic Linear Quadratic Optimal Control Problems (2001)Stochastic Linear Quadratic O…Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Stochastic Linear Quadratic R…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Stochastic Controls (1999)Stochastic ControlsStochastic Linear Quadratic Regulators with Indefinite Control Weight Costs (1998)Stochastic Linear Quadratic R…Option pricing when underlying stock returns are discontinuous (1976)Stochastic Integration and Differential Equations (2005)The maximum principle for a jump-diffusion mean-field model and its application to the mean–variance problem (2013)Numerical solution of stochastic differential equations (2016)Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (2020)Portfolio Selection: Efficient Diversification of Investments (1959)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)Controlled Markov Processes and Viscosity Solutions (2005)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)Adapted solution of a backward stochastic differential equation (1990)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Benchmark and mean-variance problems for insurers (2005)The Econometrics of Financial Markets (2012)Stochastic Differential Equations: Theory and Applications. (1976)Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean–variance hedging (2002)Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control (2005)Brownian Motion and Stochastic Calculus (2007)Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Stochastic controls : Hamiltonian systems and HJB equations (1999)Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control: From Finite Horizon to Infinite Horizon (2015)Linear Quadratic Optimal Control Problems for Mean-Field Backward Stochastic Differential Equations (2017)Time-Inconsistent Recursive Stochastic Optimal Control Problems (2017)Portfolio Selection (1952)An Intertemporal Capital Asset Pricing Model (1973)Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach (2006)Option Pricing With Markov-Modulated Dynamics (2006)Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature (2017)An Introductory Approach to Duality in Optimal Stochastic Control (1978)A General Stochastic Maximum Principle for Optimal Control Problems (1990)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)
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45 cited
  • 2010Portfolio Selection in the Enlarged Markovian Regime-Switching Market33 cited
  • 2017Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations30 cited
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