Optimal control problem with an integral equation as the control object

We consider a nonlinear optimal control problem with an integral equation as the control object, subject to control constraints. This integral equation corresponds to the fractional moment of a stochastic process involving short-range and long-range dependences. For both cases, we derive the first-o...

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Bibliographic Details
Published inNonlinear analysis Vol. 72; no. 3; pp. 1235 - 1246
Main Authors Filatova, Darya, Grzywaczewski, Marek, Osmolovskii, Nikolay
Format Journal Article
LanguageEnglish
Published Elsevier Ltd 01.02.2010
Subjects
Adjoint equation
Control constraint
Integral equation
Maximum principle
Numerical solution
Portfolio selection problem
Control constraint
Maximum principle
Portfolio selection problem
Integral equation
Adjoint equation
Numerical solution
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Summary:We consider a nonlinear optimal control problem with an integral equation as the control object, subject to control constraints. This integral equation corresponds to the fractional moment of a stochastic process involving short-range and long-range dependences. For both cases, we derive the first-order necessary optimality conditions in the form of the Euler–Lagrange equation, and then apply them to obtain a numerical solution of the problem of optimal portfolio selection.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0362-546X
1873-5215
DOI:10.1016/j.na.2009.08.008