Title :
Mean variance optimal control of Markov jump with multiplicative noise systems
Author :
Costa, Oswaldo L. V. ; Okimura, Rodrigo T.
Author_Institution :
Dept. de Eng. de Telecomun. e Controle, Escola Politec. da Univ. de Sao Paulo, Sao Paulo, Brazil
Abstract :
In this paper we consider the mean variance stochastic optimal control problem of discrete-time Markov jump with multiplicative noise linear systems. The performance criterion is to minimize the final variance subject to a restriction on the final expected value of the output, or to maximize the final expected value subject to a restriction on the final variance of the output of the system. We also consider the performance criterion composed by a linear combination of the final variance and expected value of the output of the system. The optimal control strategies are obtained from a set of interconnected Riccati difference equations. Additionally, we formulate an asset liabilities management model for defined-benefit pension funds with regime switching using our model. We assume in this case that the market parameters depend on the market mode that switches according to a Markov chain among a finite number of states.
Keywords :
Markov processes; Riccati equations; difference equations; discrete time systems; linear systems; optimal control; stochastic systems; Markov chain; discrete-time Markov jump; interconnected Riccati difference equations; linear combination; mean variance stochastic optimal control; multiplicative noise linear systems; Difference equations; Linear systems; Markov processes; Noise; Optimal control; Markov jump systems; mean variance control; multiplicative noise; stochastic optimal control;
Conference_Titel :
Control Conference (ECC), 2007 European
Conference_Location :
Kos
Print_ISBN :
978-3-9524173-8-6