UNCERTAIN OPTIMAL CONTROL WITH APPLICATION TO A PORTFOLIO SELECTION MODEL

被引：314

作者：

Zhu, Yuanguo ^{[1
]}

机构：

[1] Nanjing Univ Sci & Technol, Dept Appl Math, Nanjing 210094, Jiangsu, Peoples R China

来源：

CYBERNETICS AND SYSTEMS | 2010年 / 41卷 / 07期

基金：

中国国家自然科学基金;

关键词：

equation of optimality; optimal control; portfolio selection; principle of optimality; uncertain process;

D O I：

10.1080/01969722.2010.511552

中图分类号：

TP3 [计算技术、计算机技术];

学科分类号：

0812 ;

摘要：

Optimal control is a very important field of study not only in theory but in applications, and stochastic optimal control is also a significant branch of research in theory and applications. Based on the concept of uncertain process, an uncertain optimal control problem is dealt with. Applying Bellman's principle of optimality, the principle of optimality for uncertain optimal control is obtained, and then a fundamental result called the equation of optimality in uncertain optimal control is given. Finally, as an application, the equation of optimality is used to solve a portfolio selection model.

引用

页码：535 / 547

页数：13

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