Indefinite stochastic LQ control with financial applications.
As we know, the deterministic LQ problems are well-posed if the state weighting matrix and the control weighting matrix are nonnegative and positive definite in the cost function, respectively. Some practical problems, however, often include indefinite weighting matrices in their cost functions such...
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| Format: | Others |
| Language: | English Chinese |
| Published: |
2000
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| Online Access: | http://library.cuhk.edu.hk/record=b6073917 http://repository.lib.cuhk.edu.hk/en/item/cuhk-342986 |