Refined estimation of the Bellman function for stochastic optimal control problems with probabilistic performance criterion

DOI10.1134/S0005117919040039zbMath1431.93062OpenAlexW2941072393WikidataQ127968886 ScholiaQ127968886MaRDI QIDQ2290396

V. M. Azanov, Yu. S. Kan

Publication date: 27 January 2020

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117919040039

zbMATH Keywords

dynamic programmingdiscrete-time systemsstochastic optimal controlBellman functionprobabilistic criterioninvestment portfolio management

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Dynamic programming (90C39) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (3)

Optimal retention of the trajectories of a discrete-time stochastic system in a tube: one problem statement ⋮ Optimal control of a discrete-time stochastic system with a probabilistic criterion and a non-fixed terminal time ⋮ On the construction of positional control in a multistep portfolio optimization problem with probabilistic criterion

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