Constrained stochastic LQ control with random coefficients, and application to portfolio selection
This paper is devoted to the study of a stochastic linear-quadratic (LQ) optimal control problem where the control variable is constrained in a cone, and all the coefficients of the problem are random processes. Employing Tanaka's formula, optimal control and optimal cost are explicitly obtaine...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2006
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