Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory

Optimal Control Theory ◽

Proportional Transaction Costs ◽

Dynamic Portfolio

Nonstandard Techniques in Stochastic Optimal Control Theory

Stochastic Processes in Physics and Engineering ◽

10.1007/978-94-009-2893-0_4 ◽

1988 ◽

pp. 75-90

Author(s):

Nigel J. Cutland

Keyword(s):

Optimal Control ◽

Control Theory ◽

Mathematics in Science and Engineering - Retracted: Stochastic Optimal Control: The Discrete Time Case ◽

REMOVED: Part II: Stochastic Optimal Control Theory

10.1016/s0076-5392(08)61852-4 ◽

1978 ◽

pp. 99

Keyword(s):

Optimal Control ◽

Control Theory ◽

Stochastic Optimal Control: Theory and Application. R. F. Stengel. John Wiley & Sons, Incorporated, New York. 1986. 658pp. Illustrated. £52.75.

The Aeronautical Journal ◽

10.1017/s0001924000050697 ◽

1987 ◽

Vol 91 (910) ◽

pp. 499

Author(s):

J. M. Lipscombe

Keyword(s):

New York ◽

Optimal Control ◽

Control Theory ◽

Discrete-time drift counteraction stochastic optimal control: Theory and application-motivated examples

Automatica ◽

10.1016/j.automatica.2007.06.002 ◽

2008 ◽

Vol 44 (1) ◽

pp. 177-184 ◽

Cited By ~ 19

Author(s):

I.V. Kolmanovsky ◽

L. Lezhnev ◽

T.L. Maizenberg

Keyword(s):

Optimal Control ◽

Control Theory ◽

Discrete Time ◽

Optimal Control Theory ◽

Time Drift

Stochastic Optimal Control Theory with Application in Self-Tuning Control (K. J. Hunt)

SIAM Review ◽

10.1137/1033032 ◽

1991 ◽

Vol 33 (1) ◽

pp. 142-144

Author(s):

G. C. Goodwin

Keyword(s):

Optimal Control ◽

Control Theory ◽

Optimal Control Theory ◽

Self Tuning

Sustainability of Rangeland Pastoralism—a Case Study from the West Australian Arid Zone using Stochastic Optimal Control Theory

Journal of Environmental Management ◽

10.1006/jema.1996.0101 ◽

1997 ◽

Vol 50 (2) ◽

pp. 147-170 ◽

Cited By ~ 7

Author(s):

K.M. Wang ◽

R.B. Hacker

Keyword(s):

Optimal Control ◽

Control Theory ◽

Optimal Control Theory ◽

Arid Zone ◽

The West

Infinite Dimensional and Finite Dimensional Stochastic Equations and Applications in Physics ◽

Quantum Hamilton Equations from Stochastic Optimal Control Theory

10.1142/9789811209796_0005 ◽

2020 ◽

pp. 213-250

Author(s):

Jeanette Köppe ◽

Markus Patzold ◽

Michael Beyer ◽

Wilfried Grecksch ◽

Wolfgang Paul

Keyword(s):

Optimal Control ◽

Control Theory ◽

Optimal Control Theory ◽

Hamilton Equations

Information Transfer of Control Strategies: Dualities of Stochastic Optimal Control Theory and Feedback Capacity of Information Theory

IEEE Transactions on Automatic Control ◽

10.1109/tac.2017.2690147 ◽

2017 ◽

Vol 62 (10) ◽

pp. 5010-5025 ◽

Cited By ~ 4

Author(s):

Charalambos D. Charalambous ◽

Christos K. Kourtellaris ◽

Ioannis Tzortzis

Keyword(s):

Information Theory ◽

Optimal Control ◽

Control Theory ◽

Optimal Control Theory ◽

Information Transfer ◽

Control Strategies

An application of stochastic optimal control theory to the optimal rescheduling of airplanes

IEEE Transactions on Automatic Control ◽

10.1109/tac.1974.1100508 ◽

1974 ◽

Vol 19 (2) ◽

pp. 139-142 ◽

Cited By ~ 2

Author(s):

R. Ellis ◽

R. Rishel

Keyword(s):

Optimal Control ◽

Control Theory ◽

A Stochastic Optimal Control Theory to Model Spontaneous Breathing

Applied Mathematics ◽

10.4236/am.2013.411208 ◽

2013 ◽

Vol 04 (11) ◽

pp. 1537-1546

Author(s):

Kyongyob Min

Keyword(s):

Optimal Control ◽

Control Theory ◽

Spontaneous Breathing ◽