Optimal control of Markovian switching systems with applications to portfolio decisions under inflation

DOI10.1016/S0252-9602(15)60014-5zbMath1340.93210OpenAlexW2008784413MaRDI QIDQ902339

Weiyin Fei, Chen Fei

Publication date: 15 January 2016

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0252-9602(15)60014-5

zbMATH Keywords

inflationoptimal portfolioHJB equationsgeneralized Itô formulaMarkov optimal controlthree fund theorem

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Continuous-time Markov processes on discrete state spaces (60J27) Portfolio theory (91G10)

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Agent's optimal compensation under inflation risk by using dynamic contract model ⋮ Optimal consumption, leisure and job choice under inflationary environment ⋮ On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach ⋮ Robust exponential stability of switched delay interconnected systems under arbitrary switching

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