Refined estimation of the Bellman function for stochastic optimal control problems with probabilistic performance criterion
DOI10.1134/S0005117919040039zbMATH Open1431.93062OpenAlexW2941072393WikidataQ127968886 ScholiaQ127968886MaRDI QIDQ2290396FDOQ2290396
Authors: V. M. Azanov, Yu. S. Kan 
Publication date: 27 January 2020
Published in: Automation and Remote Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s0005117919040039
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dynamic programmingdiscrete-time systemsstochastic optimal controlBellman functionprobabilistic criterioninvestment portfolio management
Dynamic programming (90C39) Portfolio theory (91G10) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)
Cites Work
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Cited In (6)
- Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function
- Optimal retention of the trajectories of a discrete-time stochastic system in a tube: one problem statement
- On the construction of positional control in a multistep portfolio optimization problem with probabilistic criterion
- Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion
- Optimal control of a discrete-time stochastic system with a probabilistic criterion and a non-fixed terminal time
- Bellman functions in the optimization of dynamic systems under uncertainty
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