A linear quadratic control for discrete systems with random parameters and multiplicative noise and its application to investment portfolio optimization
DOI10.1023/A:1026057305653zbMATH Open1061.93097OpenAlexW1567860938MaRDI QIDQ1779092FDOQ1779092
Authors: V. V. Dombrovskii, E. A. Lyashenko 
Publication date: 31 May 2005
Published in: Automation and Remote Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1026057305653
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Methods of successive quadratic programming type (90C55) Portfolio theory (91G10) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)
Cited In (13)
- Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems
- The strategy of portfolio investment based on \(H_\infty\) control with state feedback
- Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems
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- Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises
- Anisotropy-based bounded real lemma for discrete-time systems with multiplicative noise
- Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise
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- Lemma on boundedness of anisotropic norm for systems with multiplicative noises under a noncentered disturbance
- Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization
- Anisotropy-based filtering for linear discrete time-varying systems with multiplicative noises on a finite horizon
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