Sampled control for mean-variance hedging in a jump diffusion financial market (2009)
- Authors:
- Autor USP: COSTA, OSWALDO LUIZ DO VALLE - EP
- Unidade: EP
- Assunto: CADEIAS DE MARKOV
- Language: Inglês
- Imprenta:
- Source:
- Título: Proceedings
- Conference titles: IEEE Conference on Decision and Control, 48./Chinese Control Conference
-
ABNT
COSTA, Oswaldo Luiz do Valle e PINTO, Afonso de C. Sampled control for mean-variance hedging in a jump diffusion financial market. 2009, Anais.. New York: IEEE, 2009. . Acesso em: 06 fev. 2026. -
APA
Costa, O. L. do V., & Pinto, A. de C. (2009). Sampled control for mean-variance hedging in a jump diffusion financial market. In Proceedings. New York: IEEE. -
NLM
Costa OL do V, Pinto A de C. Sampled control for mean-variance hedging in a jump diffusion financial market. Proceedings. 2009 ;[citado 2026 fev. 06 ] -
Vancouver
Costa OL do V, Pinto A de C. Sampled control for mean-variance hedging in a jump diffusion financial market. Proceedings. 2009 ;[citado 2026 fev. 06 ] - Impulse control of piecewise deterministic systems
- Generalized mean-variance portfolio selection model with regime switching
- On the discrete-time infinite cooupled riccati equations which arises in a certain optimal control problem
- Suboptimal and static output feedback control of hidden Markov jump linear systems
- State feedback H∞ control for discrete-time infinite-dimensional stochastic bilinear systems
- Discretizations for the average impulse control of piecewise deterministic processes
- A note on stochastic stability for linear systems with jumping parameters
- Asymptotic convergence for the average impulse control of piecewise deterministic processes
- Discrete-time LQ-optimal control problems for infinite Markov jump parameter systems
- General average impulse control of piecewise deterministic processes
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