Asset allocation for regime-switching market models under partial observation

zbMATH Open1307.91170MaRDI QIDQ2928675FDOQ2928675

Authors: L. Yu, Q. Zhang, G. Yin 

Publication date: 10 November 2014

Published in: Dynamic Systems and Applications (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Filtering in stochastic control theory (93E11) Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cited In (3)

• Dissipative control of a three-species food chain stochastic system with a hidden Markov chain
• Stochastic competitive Lotka-Volterra ecosystems under partial observation: feedback controls for permanence and extinction
• Optimal exploitation for hybrid systems of renewable resources under partial observation

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