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Uncertain optimal control problem with the first hitting time objective and application to a portfolio selection model.
Ting Jin
Yuanguo Zhu
Yadong Shu
Jing Cao
Hongyan Yan
Depeng Jiang
Published in:
J. Intell. Fuzzy Syst. (2023)
Keyphrases
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optimal control
portfolio selection
dynamic programming
mathematical model
real time
sufficient conditions
theoretical framework
multistage
infinite horizon