Optimal Control of Uncertain Stochastic Systems with Markovian Switching and Its Applications to Portfolio Decisions

DOI10.1080/01969722.2014.862445zbMath1331.93224arXiv1401.2531OpenAlexW2122549451MaRDI QIDQ2790365

Weiyin Fei

Publication date: 4 March 2016

Published in: Cybernetics and Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.2531

zbMATH Keywords

HJB equationsMarkovian switchingoptimal consumption and portfoliogeneralized Itô-Liu formulaoptimal control of uncertain stochastic systemsuncertain random variables

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (2)

On existence and uniqueness of solutions to uncertain backward stochastic differential equations ⋮ Age-structured population model under uncertain environment

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