کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
752064 | 895378 | 2013 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Risk-sensitive control for a class of nonlinear systems with multiplicative noise
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
سایر رشته های مهندسی
کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
In this paper, we consider the problem of optimal control for a class of nonlinear stochastic systems with multiplicative noise. The nonlinearity consists of quadratic terms in the state and control variables. The optimality criteria are of a risk-sensitive and generalised risk-sensitive type. The optimal control is found in an explicit closed-form by the completion of squares and the change of measure methods. As applications, we outline two special cases of our results. We show that a subset of the class of models which we consider leads to a generalised quadratic–affine term structure model (QATSM) for interest rates. We also demonstrate how our results lead to generalisation of exponential utility as a criterion in optimal investment.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Systems & Control Letters - Volume 62, Issue 10, October 2013, Pages 988–999
Journal: Systems & Control Letters - Volume 62, Issue 10, October 2013, Pages 988–999
نویسندگان
Paresh Date, Bujar Gashi,