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科研机构
数学与系统科学研究院 [9]
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期刊论文 [9]
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2020 [1]
2018 [2]
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Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection
期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2020, 卷号: 65, 期号: 4, 页码: 1716-1723
作者:
Ni, Yuan-Hua
;
Li, Xun
;
Zhang, Ji-Feng
;
Krstic, Miroslav
收藏
  |  
浏览/下载:13/0
  |  
提交时间:2020/05/24
Portfolios
Optimal control
Nickel
Covariance matrices
Optimization
Indexes
Multiperiod mean-variance portfolio selection
stochastic linear-quadratic (LQ) control
time inconsistency
Time-Inconsistent Mean-Field Stochastic LQ Problem: Open-Loop Time-Consistent Control
期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2018, 卷号: 63, 期号: 9, 页码: 2771-2786
作者:
Ni, Yuan-Hua
;
Zhang, Ji-Feng
;
Krstic, Miroslav
收藏
  |  
浏览/下载:26/0
  |  
提交时间:2018/10/07
Forward-backward stochastic difference equation
mean-field theory
stochastic linear-quadratic optimal control
time inconsistency
Time-Inconsistent Mean-Field Stochastic LQ Problem: Open-Loop Time-Consistent Control
期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2018, 卷号: 63, 期号: 9, 页码: 2771-2786
作者:
Ni, Yuan-Hua
;
Zhang, Ji-Feng
;
Krstic, Miroslav
收藏
  |  
浏览/下载:16/0
  |  
提交时间:2018/10/07
Forward-backward stochastic difference equation
mean-field theory
stochastic linear-quadratic optimal control
time inconsistency
DELAYED OPTIMAL CONTROL OF STOCHASTIC LQ PROBLEM
期刊论文
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2017, 卷号: 55, 期号: 5, 页码: 3370-3407
作者:
Ni, Yuan-Hua
;
Yiu, Ka-Fai Cedric
;
Zhang, Huanshui
;
Zhang, Ji-Feng
收藏
  |  
浏览/下载:35/0
  |  
提交时间:2018/07/25
stochastic linear-quadratic optimal control
transmission delay
forward-backward stochastic difference equation
convexity
DOUBLE-STEPPED ADAPTIVE CONTROL FOR HYBRID SYSTEMS WITH UNKNOWN MARKOV JUMPS AND STOCHASTIC NOISES
期刊论文
ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS, 2009, 卷号: 15, 期号: 4, 页码: 969-993
作者:
Tan, Shuping
;
Zhang, Ji-Feng
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  |  
浏览/下载:13/0
  |  
提交时间:2018/07/30
Sampling control system
Markov jump parameter
adaptive control
double-step approach
stochastic noise
least matching error estimation
Continuous-time portfolio selection with liability: Mean-variance model and stochastic LQ approach
期刊论文
INSURANCE MATHEMATICS & ECONOMICS, 2008, 卷号: 42, 期号: 3, 页码: 943-953
作者:
Xie, Shuxiang
;
Li, Zhongfei
;
Wang, Shouyang
收藏
  |  
浏览/下载:12/0
  |  
提交时间:2018/07/30
portfolio selection
asset-liability management
continuous-time
mean-variance model
stochastic linear-quadratic control
Adaptive sampled-data based linear quadratic optimal control of stochastic systems
期刊论文
INTERNATIONAL JOURNAL OF CONTROL, 2007, 卷号: 80, 期号: 10, 页码: 1676-1689
作者:
Tan, S.
;
Zhang, J. F.
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  |  
浏览/下载:13/0
  |  
提交时间:2018/07/30
LQ problem for non-regular singular lumped parameter systems
期刊论文
DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES A-MATHEMATICAL ANALYSIS, 2006, 卷号: 13, 页码: 479-482
作者:
Ge Zhaoqiang
;
Zhu Guangtian
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  |  
浏览/下载:9/0
  |  
提交时间:2018/07/30
Asymptotic expansion and convergence theorem of control and observation on the boundary for second-order elliptic equation with highly oscillatory coefficients
期刊论文
MATHEMATICAL MODELS & METHODS IN APPLIED SCIENCES, 2004, 卷号: 14, 期号: 3, 页码: 417-437
作者:
Cao, LQ
收藏
  |  
浏览/下载:9/0
  |  
提交时间:2018/07/30
optimal control
homogenization
asymptotic expansion
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