Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control

IEEE Transactions on Automatic Control

Volumn 60, Issue 7, 2015, Pages 1786-1800

  Ni, Yuan Hua ^a   Zhang, Ji Feng ^b   Li, Xun ^c  

^a TIANJIN POLYTECHNIC UNIVERSITY   (China)

^b INSTITUTE OF SYSTEMS SCIENCE   (China)

^c HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

Author keywords

Indefinite stochastic linear quadratic optimal control; Mean field theory; Multi period mean variance portfolio selection

Indexed keywords

DISCRETE TIME CONTROL SYSTEMS; EQUATIONS OF STATE; MEAN FIELD THEORY; OPTIMAL CONTROL SYSTEMS; QUADRATIC PROGRAMMING; RICCATI EQUATIONS; STOCHASTIC CONTROL SYSTEMS; STOCHASTIC SYSTEMS;

DYNAMIC OPTIMIZATION PROBLEM (DOP); GENERALIZED DIFFERENCE RICCATI EQUATIONS; LINEAR QUADRATIC OPTIMAL CONTROL; LINEAR QUADRATIC OPTIMAL CONTROL PROBLEM; MEAN-VARIANCE PORTFOLIOS; MULTI-PERIOD MEAN-VARIANCE; OPTIMAL STOCHASTIC CONTROL; PORTFOLIO SELECTION PROBLEMS;

DYNAMIC PROGRAMMING;

EID: 84934300805     PISSN: 00189286     EISSN: 15582523     Source Type: Journal    
DOI: 10.1109/TAC.2014.2385253     Document Type: Article

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