کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7374569 | 1480061 | 2018 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimal control design for a class of quantum stochastic systems with financial applications
ترجمه فارسی عنوان
طراحی کنترل بهینه برای یک کلاس از سیستم های تصادفی کوانتومی با برنامه های مالی
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
چکیده انگلیسی
The purpose of this paper is to design an optimal quantum controller for a class of stochastic systems with application in financial problems. Dynamics of the system is prescribed via a Quantum Stochastic Differential System (QSDES) with a quantum Brownian motion on a quantum probability space. A theorem for guaranteeing the existence and uniqueness of solutions to the QSDES is proved. Additionally, a new optimal stochastic control problem is formulated and based on the necessary optimality conditions, an optimal quantum control law is designed, explicitly. Four theorems and two lemmas, for facilitating the optimal controller design algorithm, are proved. Finally, for demonstrating the applicable results, two financial problems, Merton portfolio allocation and optimal pairs trading problem are simulated by using the presented method. As the simulation results indicate, portfolio optimal performances, minimum risk and maximum return, are achieved via presented method.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 512, 15 December 2018, Pages 507-522
Journal: Physica A: Statistical Mechanics and its Applications - Volume 512, 15 December 2018, Pages 507-522
نویسندگان
S. Yaghobipour, M. Yarahmadi,