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Closed-loop control
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Forward-backward stochastic...
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Robust Time-Inconsistent Stochastic Linear-Quadratic Control with Drift Disturbance
Journal article
Applied Mathematics and Optimization,2022, volume: 86, issue: 1
Authors:
Han, Bingyan
;
Pun, Chi-Seng
;
Wong, Hoi-Ying
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View/Download:4/0
  |  
Submit date:2022/09/05
Forward-backward stochastic differential equation
Robust control
Stochastic linear-quadratic control
Time-inconsistent preference
Robust state-dependent mean–variance portfolio selection: a closed-loop approach
Journal article
Finance and Stochastics,2021, volume: 25, issue: 3, pages: 529-561
Authors:
Han, Bingyan
;
Pun, Chi Seng
;
Wong, Hoi Ying
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View/Download:4/0
  |  
Submit date:2021/10/19
Closed-loop control
Model uncertainty
Robust mean–variance portfolio selection
State-dependence
Time-inconsistency