Risk-Sensitive Dynamic Asset Management with Partial Information
Risk-Sensitive Dynamic Asset Management with Partial Information
复制标题
部分信息的风险敏感动态资产管理
DOI：
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发表时间：
2001
期刊：
影响因子：
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通讯作者：
H. Nagai
中科院分区：
文献类型：
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作者：
H. Nagai
自Jacobson[16]的早期工作以来，风险敏感控制问题已经从各个方面得到了广泛的研究。其中，LEQG（线性指数二次高斯）控制问题作为LQG控制的模拟进行了研究，其中最优控制通过使用矩阵Riccati微分方程的解来明确表示。事实上，在离散时间 LEQG 控制问题的情况下，最优策略的表示是由 Whittle [24] 获得的，在连续时间情况下是由 Bensoussan 和 Van Schuppen [5] 获得的。
Since the early work of Jacobson [16], risk-sensitive control problems have been studied extensively from various aspects. Among them, LEQG (Linear Exponential Quadratic Gaussian) control problems have been studied as the analogue of LQG control, where the optimal controls are explicitly represented by using the solutions of matrix Riccati differential equations. In fact, in the case of the discrete time LEQG control problem, the representation of the optimal strategy was obtained by Whittle [24] and in the continuous time case by Bensoussan and Van Schuppen [5].