The paper proves existence and uniqueness of optimal controls for indefinite LQ problems in jump-diffusion systems with random coefficients by constructing a generalized stochastic Riccati equation with jumps from an algebraic inverse flow, under uniform convexity.
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2 Pith papers cite this work. Polarity classification is still indexing.
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Generalized bridges with constraints solve Schrödinger problems, enabling broader financial equilibrium models with frictions and proving convergence of trading-cost equilibria to the classical Kyle model.
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Indefinite Stochastic LQ Optimal Control for Jump-Diffusion Systems with Random Coefficients
The paper proves existence and uniqueness of optimal controls for indefinite LQ problems in jump-diffusion systems with random coefficients by constructing a generalized stochastic Riccati equation with jumps from an algebraic inverse flow, under uniform convexity.
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Schr\"odinger's problem with constraints
Generalized bridges with constraints solve Schrödinger problems, enabling broader financial equilibrium models with frictions and proving convergence of trading-cost equilibria to the classical Kyle model.