Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises

DOI10.1016/j.automatica.2011.11.009zbMath1260.93173OpenAlexW2040113250MaRDI QIDQ1941253

Alexandre de Oliveira, Oswaldo L. V. Costa

Publication date: 12 March 2013

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2011.11.009

zbMATH Keywords

stochastic optimal controlRiccati equationsmean-variance controlMarkov jump systemsmultiplicative noises

Mathematics Subject Classification ID

Related Items (36)

Maximum principle for discrete-time stochastic optimal control problem and stochastic game ⋮ Multi-period defined contribution pension funds investment management with regime-switching and mortality risk ⋮ Controllability Metrics on Networks with Linear Decision Process--type Interactions and Multiplicative Noise ⋮ \(\mathcal{H}_-\) index for discrete-time stochastic systems with Markovian jump and multiplicative noise ⋮ A new integral sliding mode design method for nonlinear stochastic systems ⋮ Robust stabilization subject to structured uncertainties and mean power constraint ⋮ Dynamic asset–liability management in a Markov market with stochastic cash flows ⋮ Indefinite LQ optimal control with equality constraint for discrete-time uncertain systems ⋮ Some remarks on infinite horizon stochastic \(H_2/H_\infty\) control with \((x,u,v)\)-dependent noise and Markov jumps ⋮ The LMI approach for stabilizing of linear stochastic systems ⋮ Infinite horizon \(H_\infty\) control for nonlinear stochastic Markov jump systems with \((x, u, v)\)-dependent noise via fuzzy approach ⋮ Survey on multi-period mean-variance portfolio selection model ⋮ Stochastic optimal control problems of discrete‐time Markov jump systems ⋮ Dynamic trading with Markov liquidity switching ⋮ Equilibrium multi-agent model with heterogeneous views on fundamental risks ⋮ Multiobjective $\mathcal{H}_2$/$\mathcal{H}_\infty$ Control Design Subject to Multiplicative Input Dependent Noises ⋮ Quadratic stabilizability andH_∞control of linear discrete-time stochastic uncertain systems ⋮ Nonlinear stochastic \(H_{\infty}\) control with Markov jumps and \((x, u, v)\)-dependent noise: finite and infinite horizon cases ⋮ Nonfragile \(H_\infty\) control for stochastic systems with Markovian jumping parameters and random packet losses ⋮ Survey of duality between linear quadratic regulation and linear estimation problems for discrete-time systems ⋮ Stochastic Nash games for Markov jump linear systems with state- and control-dependent noise ⋮ Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach ⋮ Non-zero sum differential game for stochastic Markovian jump systems with partially unknown transition probabilities ⋮ Stability of Markov jump systems with quadratic terms and its application to RLC circuits ⋮ Infinite horizon linear quadratic stochastic Nash differential games of Markov jump linear systems with its application ⋮ Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework ⋮ Robust stochastic stability of uncertain discrete-time impulsive Markovian jump delay systems with multiplicative noises ⋮ Distributed fusion estimation with square-root array implementation for Markovian jump linear systems with random parameter matrices and cross-correlated noises ⋮ Robust stability, stabilization, and \(H_{\infty}\) control of a class of nonlinear discrete time stochastic systems ⋮ Optimal portfolio execution problem with stochastic price impact ⋮ Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate ⋮ H₂control of discrete-time periodic systems with Markovian jumps and multiplicative noise ⋮ State estimation and sliding mode control for semi-Markovian jump systems with mismatched uncertainties ⋮ A mean-field formulation for the mean-variance control of discrete-time linear systems with multiplicative noises ⋮ Linear quadratic regulation problem for discrete-time systems with multi-channel multiplicative noise ⋮ Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Mean square exponential stability for some stochastic linear discrete time systems
• Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems
• Near-optimal controls of random-switching LQ problems with indefinite control weight costs
• Indefinite stochastic LQ controls with Markovian jumps in a finite time horizon
• Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
• Multi-period optimization portfolio with bankruptcy control in stochastic market
• Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems
• A geometric approach to multiperiod mean variance optimization of assets and liabilities
• A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
• Portfolio selection in stochastic markets with HARA utility functions
• Multi-period minimax hedging strategies
• Discrete time LQG controls with control dependent noise
• Discrete-time optimal control with control-dependent noise and generalized Riccati difference equations
• A robust hedging algorithm
• Indefinite stochastic linear quadratic control with Markovian jumps in infinite time horizon
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Robust min-max portfolio strategies for rival forecast and risk scenarios
• A linear quadratic control for discrete systems with random parameters and multiplicative noise and its application to investment portfolio optimization
• Discrete-time indefinite LQ control with state and control dependent noises
• Generalized differential Riccati equation and indefinite stochastic LQ control with cross term
• Multiperiod mean-variance optimization with intertemporal restrictions
• Portfolio optimization in stochastic markets
• On stochastic Riccati equations for the stochastic LQR problem
• Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights
• Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
• Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
• Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls
• BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
• Characterizing all optimal controls for an indefinite stochastic linear quadratic control problem
• Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
• Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
• The Linear Quadratic Optimization Problems for a Class of Linear Stochastic Systems With Multiplicative White Noise and Markovian Jumping
• Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise
• Observability and detectability of a class of discrete-time stochastic linear systems
• Robust ℋ∞ constant gain feedback stabilization of stochastic systems
• State and Mode Estimation for Discrete-Time Jump Markov Systems

This page was built for publication: Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises