A mean-field formulation for the mean-variance control of discrete-time linear systems with multiplicative noises

DOI10.1080/00207721.2020.1780340zbMath1483.93703OpenAlexW3036639724MaRDI QIDQ5026814

Publication date: 8 February 2022

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

Full work available at URL: https://doi.org/10.1080/00207721.2020.1780340

zbMATH Keywords

stochastic optimal control mean-variance control multiplicative noises mean-field formulation intertemporal restrictions

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Portfolio theory (91G10)

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