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Optimal Control of Linear Stochastic Systems with Singular Costs, and the Mean-Variance Hedging Problem with Stochastic Market Conditions

Optimal Control of Linear Stochastic Systems with Singular Costs, and the Mean-Variance Hedging Problem with Stochastic Market Conditions

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KOHLMANN, Michael, Shanjian TANG, 2000. Optimal Control of Linear Stochastic Systems with Singular Costs, and the Mean-Variance Hedging Problem with Stochastic Market Conditions

@techreport{Kohlmann2000Optim-597, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Optimal Control of Linear Stochastic Systems with Singular Costs, and the Mean-Variance Hedging Problem with Stochastic Market Conditions}, year={2000}, number={2000/13}, author={Kohlmann, Michael and Tang, Shanjian} }

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