Near-optimal mean–variance controls under two-time-scale formulations and applications

DOI10.1080/17442508.2013.795567zbMath1284.93266arXiv1401.4476OpenAlexW3103833071MaRDI QIDQ5410807

George Yin, Zhixin Yang, Hong-Wei Zhang, L. Y. Wang

Publication date: 17 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.4476

zbMATH Keywords

regime-switching modelmean-variance controltwo-time-scalenear-optimal controlplatoon application

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60)

Related Items (1)

Applications of Numerical Methods for Stochastic Controlled Switching Diffusions with a Hidden Markov Chain: Case Studies on Distributed Power Management and Communication Resource Allocation

Cites Work

• Unnamed Item
• Near-optimal controls of random-switching LQ problems with indefinite control weight costs
• Controlled diffusion models for optimal dividend pay-out
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Asymptotic properties of a singularly perturbed Markov chain with inclusion of transient states.
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• On nearly optimal controls of hybrid LQG problems
• Aggregation of Variables in Dynamic Systems

This page was built for publication: Near-optimal mean–variance controls under two-time-scale formulations and applications