Search Results - subject:"stochastic LQ control"

Continuous-time Markowitz's model with constraints on wealth and portfolio

Li, Xun; Xu, Zuo Quan - In: Operations research letters 44 (2016) 6, pp. 729-736

Persistent link: https://www.econbiz.de/10011622222

LQ Control without Riccati Equations: Stochastic Systems

Yao, D.D.; Zhang, S.; Zhou, X.Y. - Erasmus University Rotterdam, Econometric Institute - 1999

We study stochastic linear--quadratic (LQ) optimal control problems over an infinite horizon, allowing the cost matrices to be indefinite. We develop a systematic approach based on semidefinite programming (SDP). A central issue is the stability of the feedback control; and we show this can be...

Persistent link: https://www.econbiz.de/10008570636

A communication mix for an event planning: a linear quadratic approach

Buratto, Alessandra; Grosset, Luca - In: Central European Journal of Operations Research 14 (2006) 3, pp. 247-259

Persistent link: https://www.econbiz.de/10008515663

Advertising for a new product introduction: A stochastic approach

Grosset, Luca; Viscolani, Bruno - In: TOP: An Official Journal of the Spanish Society of … 12 (2004) 1, pp. 149-167

Persistent link: https://www.econbiz.de/10005371454

LQ Control without Riccati Equations: Stochastic Systems

Yao, D.D.; Zhang, Zhang, S.; Zhou, X.Y. - Faculteit der Economische Wetenschappen, Erasmus … - 1999

Persistent link: https://www.econbiz.de/10010731580