Asset allocation for regime-switching market models under partial observation

MaRDI QIDQ2928675zbMATH OpenFDO

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)

• Optimal exploitation for hybrid systems of renewable resources under partial observation
• 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

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