UNCERTAIN OPTIMAL CONTROL WITH APPLICATION TO A PORTFOLIO SELECTION MODEL |
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| Authors: | Yuanguo Zhu |
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| Affiliation: | 1. Department of Applied Mathematics , Nanjing University of Science and Technology , Nanjing, Jiangsu, China ygzhu@mail.njust.edu.cn |
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| Abstract: | 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. |
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| Keywords: | equation of optimality optimal control portfolio selection principle of optimality uncertain process |
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