A numerical method for solving stochastic linear quadratic problem with a finance application
- سال انتشار: 1401
- محل انتشار: مجله مدلسازی ریاضی، دوره: 10، شماره: 3
- کد COI اختصاصی: JR_JMMO-10-3_009
- زبان مقاله: انگلیسی
- تعداد مشاهده: 101
نویسندگان
Mohammad Hossein Fotoohi Bafghi
Department of Applied Mathematics, Ferdowsi University of Mashhad, Mashhad, Iran
Center of Excellence on Soft Computing and Intelligent Information Processing
Ferdowsi University of Mashhad, Mashhad, Iran
چکیده
This paper is concerned with the stochastic linear quadratic regulator (LQR) optimal control problem in which dynamical systems have control-dependent diffusion coefficients. In fact, providing the solution to this problem leads to solving a matrix Riccati differential equation as well as a vector differential equation with boundary conditions. The present work mainly proposes not only a novel method but also an efficient fixed-point scheme based on the spline interpolation for the numerical solution to the stochastic LQR problem. Via implementing the proposed method to the corresponding differential equation of the stochastic LQR optimal control problem, not only is the numerical solution gained, but also a suboptimal control law is obtained. Furthermore, the method application is illustrated by means of an optimal control example with the financial market problems, including two investment options.کلیدواژه ها
stochastic, quadratic, optimal, Control, Riccati equation, approximation, financial marketاطلاعات بیشتر در مورد COI
COI مخفف عبارت CIVILICA Object Identifier به معنی شناسه سیویلیکا برای اسناد است. COI کدی است که مطابق محل انتشار، به مقالات کنفرانسها و ژورنالهای داخل کشور به هنگام نمایه سازی بر روی پایگاه استنادی سیویلیکا اختصاص می یابد.
کد COI به مفهوم کد ملی اسناد نمایه شده در سیویلیکا است و کدی یکتا و ثابت است و به همین دلیل همواره قابلیت استناد و پیگیری دارد.