Linear systems with Markov jumps and multiplicative noises: the constrained total variance problem.

Linear systems with Markov jumps and multiplicative noises: the constrained total variance problem.

In this work we study the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noises. We consider the multiperiod and finite time horizon optimization of a mean-variance cost function under a new criterion. In this new problem, we apply a...

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Bibliographic Details
Main Author: Fabio Barbieri
Other Authors: Oswaldo Luiz do Valle Costa
Language:English
Published: Universidade de São Paulo 2016
Subjects:
Controle estocástico
Controle ótimo
Investimentos (Otimização)
Sistemas lineares
Variância máxima
Linear systems
Maximum variance
Optimal control
Portfolio optimization
Stochastic control
Online Access:http://www.teses.usp.br/teses/disponiveis/3/3139/tde-17032017-100317/

Internet

http://www.teses.usp.br/teses/disponiveis/3/3139/tde-17032017-100317/

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