Optimal Control of Uncertain Stochastic Systems with Markovian Switching and Its Applications to Portfolio Decisions (Q2790365)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Control of Uncertain Stochastic Systems with Markovian Switching and Its Applications to Portfolio Decisions |
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Optimal Control of Uncertain Stochastic Systems with Markovian Switching and Its Applications to Portfolio Decisions (English)
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4 March 2016
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generalized Itô-Liu formula
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HJB equations
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Markovian switching
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optimal consumption and portfolio
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optimal control of uncertain stochastic systems
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uncertain random variables
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