@article{hu:hal-04366941,
TITLE = {Constrained stochastic LQ control with regime switching and application to portfolio selection},
AUTHOR = {Hu, Ying and Shi, Xiaomin and Xu, Zuo Quan},
URL = {https://hal.science/hal-04366941},
JOURNAL = {The Annals of Applied Probability},
PUBLISHER = {Institute of Mathematical Statistics (IMS)},
VOLUME = {32},
NUMBER = {1},
YEAR = {2022},
MONTH = Feb, DOI = {10.1214/21-AAP1684},
KEYWORDS = {Constrained stochastic LQ control ; regime switching ; extended stochastic Riccati equation ; existence ; uniqueness ; mean-variance portfolio selection},
PDF = {https://hal.science/hal-04366941/file/2004.11832.pdf},
HAL_ID = {hal-04366941},
HAL_VERSION = {v1},
}