On the existence of optimal strategies in the control problem for a stochastic discrete time system with respect to the probability criterion

DOI10.1134/S0005117917100083zbMath1387.93187OpenAlexW2762171899MaRDI QIDQ683460

A. I. Kibzun, A. N. Ignatov

Publication date: 6 February 2018

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117917100083

zbMATH Keywords

dynamic programmingdiscrete timestochastic systemmeasurable positional strategy

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

Related Items (5)

Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function ⋮ Sequential improvement method in probabilistic criteria optimization problems for linear-in-state jump diffusion systems ⋮ On the construction of positional control in a multistep portfolio optimization problem with probabilistic criterion ⋮ On optimal retention of the trajectory of discrete stochastic system in tube ⋮ Refined estimation of the Bellman function for stochastic optimal control problems with probabilistic performance criterion

Cites Work

• On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
• The two-step problem of investment portfolio selection from two risk assets via the probability criterion
• Reduction of the two-step problem of stochastic optimal control with bilinear model to the problem of mixed integer linear programming
• Portfolio selection in stochastic markets with HARA utility functions
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