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 con...

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Bibliographic Details
Main Author: Barbieri, Fabio
Other Authors: Costa, Oswaldo Luiz do Valle
Format: Others
Language:en
Published: Biblioteca Digitais de Teses e Dissertações da USP 2016
Subjects:
Controle estocástico
Controle ótimo
Investimentos (Otimização)
Linear systems
Maximum variance
Optimal control
Portfolio optimization
Sistemas lineares
Stochastic control
Variância máxima
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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