Yusong Li, Harry Zheng. Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations. SIAM J. Control and Optimization, 56(2):1130-1153, 2018. [doi]
@article{LiZ18-19,
title = {Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations},
author = {Yusong Li and Harry Zheng},
year = {2018},
doi = {10.1137/15M1052457},
url = {https://doi.org/10.1137/15M1052457},
researchr = {https://researchr.org/publication/LiZ18-19},
cites = {0},
citedby = {0},
journal = {SIAM J. Control and Optimization},
volume = {56},
number = {2},
pages = {1130-1153},
}