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Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
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References

  • 1999Stochastic Controls1,243 cited
  • 2003Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model507 cited
  • 1998Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs382 cited
  • 1976Linear Quadratic Optimal Stochastic Control with Random Coefficients338 cited
  • 2002Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints293 cited
  • 2003General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations172 cited
  • 2014Linear Quadratic Stochastic Differential Games: Open-Loop and Closed-Loop Saddle Points107 cited
  • 2012A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance100 cited
  • 2003Multidimensional Backward Stochastic Riccati Equations and Applications81 cited
  • 2015Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients65 cited
  • 2008Partial Information Linear Quadratic Control for Jump Diffusions45 cited
  • 2021Indefinite stochastic linear-quadratic optimal control problems with random coefficients: Closed-loop representation of open-loop optimal controls33 cited
  • 2017Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations30 cited

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  • 2012Quadratic Risk Minimization in a Regime-Switching Model with Portfolio Constraints26 cited
  • 2001New Developments in Backward Stochastic Riccati Equations and Their Applications24 cited
  • 2020The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps23 cited
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