Optimal control of linear stochastic systems with singular costs, and the mean-variance hedging problem with stochastic market conditions
Year of publication: |
May 11, 2000
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Authors: | Kohlmann, Michael ; Tang, Shanjian |
Publisher: |
[Konstanz] : [Zentrum für Finanzen und Ökonometrie, Universität Konstanz] |
Subject: | singular optimal stochastic control | linear quadratic stochastic control with random coefficients | nonlinear singular backward stochastic Riccati differential equation | existence and uniqueness | mean-variance hedging | Kontrolltheorie | Control theory | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Hedging | Theorie | Theory |
Extent: | 1 Online-Ressource (circa 29 Seiten) |
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Series: | CoFE discussion papers. - Konstanz : Univ., ZDB-ID 2172016-2. - Vol. [00, 13] |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Notes: | Abweichender Titel: Optimal stochastic control with a singular cost |
Other identifiers: | hdl:10419/85170 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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