Sampled control for mean-variance hedging in a jump diffusion financial market (2010)
- Authors:
- Autor USP: COSTA, OSWALDO LUIZ DO VALLE - EP
- Unidade: EP
- DOI: 10.1109/cdc.2009.5400676
- Subjects: MERCADO FINANCEIRO; CONTROLE ÓTIMO; OPÇÕES FINANCEIRAS
- Language: Inglês
- Imprenta:
- Source:
- Título: IEEE transactions on automatic control
- ISSN: 0018-9286
- Volume/Número/Paginação/Ano: vol.55, n.7, p. 1704 - 1709, 2010
- Este periódico é de acesso aberto
- Este artigo NÃO é de acesso aberto
-
ABNT
COSTA, Oswaldo Luiz do Valle e MAIALI, André Cury e PINTO, Afonso de C. Sampled control for mean-variance hedging in a jump diffusion financial market. IEEE transactions on automatic control, n. 7, p. 1704 - 1709, 2010Tradução . . Disponível em: https://doi.org/10.1109/cdc.2009.5400676. Acesso em: 07 fev. 2026. -
APA
Costa, O. L. do V., Maiali, A. C., & Pinto, A. de C. (2010). Sampled control for mean-variance hedging in a jump diffusion financial market. IEEE transactions on automatic control, ( 7), 1704 - 1709. doi:10.1109/cdc.2009.5400676 -
NLM
Costa OL do V, Maiali AC, Pinto A de C. Sampled control for mean-variance hedging in a jump diffusion financial market [Internet]. IEEE transactions on automatic control. 2010 ;( 7): 1704 - 1709.[citado 2026 fev. 07 ] Available from: https://doi.org/10.1109/cdc.2009.5400676 -
Vancouver
Costa OL do V, Maiali AC, Pinto A de C. Sampled control for mean-variance hedging in a jump diffusion financial market [Internet]. IEEE transactions on automatic control. 2010 ;( 7): 1704 - 1709.[citado 2026 fev. 07 ] Available from: https://doi.org/10.1109/cdc.2009.5400676 - 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
Informações sobre o DOI: 10.1109/cdc.2009.5400676 (Fonte: oaDOI API)
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