Mean-variance type controls involving a hidden Markov chain: models and numerical approximation

DOI10.1093/imamci/dnu027zbMath1328.93247arXiv1401.4478OpenAlexW2963989515MaRDI QIDQ3465822

Zhixin Yang, George Yin, Qing Zhang

Publication date: 22 January 2016

Published in: IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.4478

zbMATH Keywords

numerical methodmean-variance controlWonham filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stochastic systems in control theory (general) (93E03)

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