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Uncertain optimal control problem with the first hitting time objective and application to a portfolio selection model.

Ting JinYuanguo ZhuYadong ShuJing CaoHongyan YanDepeng Jiang
Published in: J. Intell. Fuzzy Syst. (2023)
Keyphrases
  • optimal control
  • portfolio selection
  • dynamic programming
  • mathematical model
  • real time
  • sufficient conditions
  • theoretical framework
  • multistage
  • infinite horizon