Explicit Solution for Constrained Scalar-State Stochastic Linear-Quadratic Control With Multiplicative Noise

DOI10.1109/TAC.2018.2831641MaRDI QIDQ5223703zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Wei-Ping Wu, Duan Li, Y. Shi, J. J. Gao

Publication date 18 July 2019

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2018.2831641

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

Cited in

(4)

• Survey on multi-period mean-variance portfolio selection model
• On continuous-time constrained stochastic linear-quadratic control
• The impact of general correlation under multi-period mean-variance asset-liability portfolio management
• Triangulations of 3-manifolds with essential edges

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