Mean-field formulation for the infinite-horizon mean-variance control of discrete-time linear systems with multiplicative noises (Q6609021)
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scientific article; zbMATH DE number 7916960
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-field formulation for the infinite-horizon mean-variance control of discrete-time linear systems with multiplicative noises |
scientific article; zbMATH DE number 7916960 |
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Mean-field formulation for the infinite-horizon mean-variance control of discrete-time linear systems with multiplicative noises (English)
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20 September 2024
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optimisation
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stability
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discrete time systems
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Riccati equations
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matrix algebra
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optimal control
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linear systems
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investment
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stochastic systems
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closed loop systems
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stochastic processes
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generalised coupled algebraic Riccati equations
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GCARE
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sufficient conditions
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maximal solution
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mean-square stabilising solution
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optimal control policies
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average cost problems
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multiperiod portfolio selection problem
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mean-variance trade-off costs
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field formulation
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infinite-horizon mean-variance control
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discrete-time linear systems
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multiplicative noises
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infinite-horizon stochastic optimal control
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average costs
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mean-variance trade-off performance criterion
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mean-field approach
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optimal control solution
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