UNCERTAIN OPTIMAL CONTROL WITH APPLICATION TO A PORTFOLIO SELECTION MODEL
UNCERTAIN OPTIMAL CONTROL WITH APPLICATION TO A PORTFOLIO SELECTION MODEL
复制标题
不确定最优控制在投资组合选择模型中的应用
DOI：
10.1080/01969722.2010.511552
复制
发表时间：
2010-01-01
影响因子：
1.7
通讯作者：
Zhu, Yuanguo
中科院分区：
文献类型：
--
作者：
Zhu, Yuanguo
最优控制无论在理论上还是在应用上都是一个非常重要的研究领域，而随机最优控制也是一个重要的理论和应用研究分支。基于不确定过程的概念，研究了一类不确定最优控制问题。应用Bellman最优性原理，得到了不确定最优控制的最优性原理，并给出了不确定最优控制的基本结果--最优性方程。最后，作为应用，利用最优方程求解了一个投资组合选择模型。
Optimal control is a very important field of study not only in theory but in applications, and stochastic optimal control is also a significant branch of research in theory and applications. Based on the concept of uncertain process, an uncertain optimal control problem is dealt with. Applying Bellman's principle of optimality, the principle of optimality for uncertain optimal control is obtained, and then a fundamental result called the equation of optimality in uncertain optimal control is given. Finally, as an application, the equation of optimality is used to solve a portfolio selection model.