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- W2018440166 abstract "We study a Linear–Quadratic Regulation (LQR) problem with Lévy processes and establish the closeness property of the solution of the multi-dimensional Backward Stochastic Riccati Differential Equation (BSRDE) with Lévy processes. In particular, we consider multi-dimensional and one-dimensional BSRDEs with Teugel’s martingales which are more general processes driven by Lévy processes. We show the existence and uniqueness of solutions to the one-dimensional regular and singular BSRDEs with Lévy processes by means of the closeness property of the BSRDE and obtain the optimal control for the non-homogeneous case. An application of the backward stochastic differential equation approach to a financial (portfolio selection) problem with full and partial observation cases is provided." @default.
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- W2018440166 modified "2023-09-29" @default.
- W2018440166 title "A stochastic linear–quadratic problem with Lévy processes and its application to finance" @default.
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- W2018440166 doi "https://doi.org/10.1016/j.spa.2007.03.011" @default.
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