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Uncertain optimal control with application to a portfolio selection model. (English) Zbl 1225.93121
Summary: Optimal control is a very important field of study not only in theory but in applications, and stochastic optimal control is also a significant branch of research in theory and applications. Based on the concept of uncertain processes, an uncertain optimal control problem is dealt with. Applying Bellman’s principle of optimality, a principle of optimality for an uncertain optimal control is obtained, and then a fundamental result called the equation of optimality in uncertain optimal control is given. Finally, as an application, the equation of optimality is used to solve a portfolio selection model.

93E20 Optimal stochastic control
49L20 Dynamic programming in optimal control and differential games
Full Text: DOI
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