Constrained stochastic LQ control with random coefficients, and application to portfolio selection

SIAM Journal on Control and Optimization

Volumn 44, Issue 2, 2006, Pages 444-466

  Hu, Ying ^a   Zhou, Xun Yu ^b  

^a UNIVERSITÉ DE RENNES 1   (France)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Backward stochastic differential equation; Efficient frontier; Efficient portfolio; Extended stochastic Riccati equation; Mean variance portfolio selection; Stochastic LQ control

Indexed keywords

OPTIMAL CONTROL SYSTEMS; PROBLEM SOLVING; RANDOM PROCESSES; RICCATI EQUATIONS;

EFFICIENT FRONTIER; EFFICIENT PORTFOLIO; EXTENDED STOCHASTIC RICCATI EQUATION; STOCHASTIC LQ CONTROL;

STOCHASTIC CONTROL SYSTEMS;

EID: 33644932590     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012904441969     Document Type: Article

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