Optimal control of LQG problem with an explicit trade-off between mean and variance

DOI10.1080/00207721003764133zbMath1260.93179OpenAlexW2043730508MaRDI QIDQ4909034

Ding Liu, Guo Xie, Fucai Qian, Wen Fang Xie

Publication date: 12 March 2013

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207721003764133

zbMATH Keywords

optimizationstochastic optimal controlLQG theoryinvestment science

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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Cites Work

• Cost smoothing in discrete-time linear-quadratic control
• Cost cumulant control: State-feedback, finite-horizon paradigm with application to seismic protection
• Mean-variance-skewness model for portfolio selection with transaction costs
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• On general multiple linear-quadratic control problems
• Multiple objective optimal control of linear systems: the quadratic norm case
• Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection
• Safety First and the Holding of Assets

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