On the existence of optimal strategies in the control problem for a stochastic discrete time system with respect to the probability criterion
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Publication:683460
DOI10.1134/S0005117917100083zbMath1387.93187OpenAlexW2762171899MaRDI QIDQ683460
Publication date: 6 February 2018
Published in: Automation and Remote Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s0005117917100083
Related Items (5)
Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function ⋮ Sequential improvement method in probabilistic criteria optimization problems for linear-in-state jump diffusion systems ⋮ On the construction of positional control in a multistep portfolio optimization problem with probabilistic criterion ⋮ On optimal retention of the trajectory of discrete stochastic system in tube ⋮ Refined estimation of the Bellman function for stochastic optimal control problems with probabilistic performance criterion
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- Portfolio selection in stochastic markets with HARA utility functions
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