Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises
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Publication:5027521
DOI10.1080/00207721.2018.1441469zbMath1485.93623OpenAlexW2791007731MaRDI QIDQ5027521
Fabio Barbieri, Oswaldo L. V. Costa
Publication date: 4 February 2022
Published in: International Journal of Systems Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207721.2018.1441469
Markov jump systemsoptimal portfolio selectionmultiplicative noisesvariance constraintmulti-period optimal control
Stochastic programming (90C15) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Portfolio theory (91G10)
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