Discrete-time stochastic recursive optimal control under constraints and application to finance.
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| Title: | Discrete-time stochastic recursive optimal control under constraints and application to finance. |
|---|---|
| Authors: | Zhang, Liangquan1 (AUTHOR) xiaoquan51011@163.com, Zhang, Weihai2 (AUTHOR) |
| Source: | International Journal of Control. Nov2025, Vol. 98 Issue 11, p2749-2764. 16p. |
| Subjects: | Optimal control theory, Stochastic difference equations, Linear programming, Stochastic processes, Portfolio management (Investments), Constraint satisfaction, Financial services industry |
| Abstract: | In this paper, we establish a necessary condition for optimal control problems of discrete-time forward–backward stochastic difference equations (FBSDEs in short) with control constraints, in which the uncertainty is described by multiplicative noise. Meanwhile, a sufficient condition is given as well for the situation of unconstrained state processes. The diffusion coefficient allows to encompass the control variable under the convex control region. As an application, we focus on a linear quadratic (LQ in short) recursive utility portfolio optimisation problem in financial engineering. [ABSTRACT FROM AUTHOR] |
| Copyright of International Journal of Control is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) | |
| Database: | Engineering Source |
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| Header | DbId: egs DbLabel: Engineering Source An: 189025348 AccessLevel: 6 PubType: Academic Journal PubTypeId: academicJournal PreciseRelevancyScore: 0 |
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| Items | – Name: Title Label: Title Group: Ti Data: Discrete-time stochastic recursive optimal control under constraints and application to finance. – Name: Author Label: Authors Group: Au Data: <searchLink fieldCode="AR" term="%22Zhang%2C+Liangquan%22">Zhang, Liangquan</searchLink><relatesTo>1</relatesTo> (AUTHOR)<i> xiaoquan51011@163.com</i><br /><searchLink fieldCode="AR" term="%22Zhang%2C+Weihai%22">Zhang, Weihai</searchLink><relatesTo>2</relatesTo> (AUTHOR) – Name: TitleSource Label: Source Group: Src Data: <searchLink fieldCode="JN" term="%22International+Journal+of+Control%22">International Journal of Control</searchLink>. Nov2025, Vol. 98 Issue 11, p2749-2764. 16p. – Name: Subject Label: Subjects Group: Su Data: <searchLink fieldCode="DE" term="%22Optimal+control+theory%22">Optimal control theory</searchLink><br /><searchLink fieldCode="DE" term="%22Stochastic+difference+equations%22">Stochastic difference equations</searchLink><br /><searchLink fieldCode="DE" term="%22Linear+programming%22">Linear programming</searchLink><br /><searchLink fieldCode="DE" term="%22Stochastic+processes%22">Stochastic processes</searchLink><br /><searchLink fieldCode="DE" term="%22Portfolio+management+%28Investments%29%22">Portfolio management (Investments)</searchLink><br /><searchLink fieldCode="DE" term="%22Constraint+satisfaction%22">Constraint satisfaction</searchLink><br /><searchLink fieldCode="DE" term="%22Financial+services+industry%22">Financial services industry</searchLink> – Name: Abstract Label: Abstract Group: Ab Data: In this paper, we establish a necessary condition for optimal control problems of discrete-time forward–backward stochastic difference equations (FBSDEs in short) with control constraints, in which the uncertainty is described by multiplicative noise. Meanwhile, a sufficient condition is given as well for the situation of unconstrained state processes. The diffusion coefficient allows to encompass the control variable under the convex control region. As an application, we focus on a linear quadratic (LQ in short) recursive utility portfolio optimisation problem in financial engineering. [ABSTRACT FROM AUTHOR] – Name: AbstractSuppliedCopyright Label: Group: Ab Data: <i>Copyright of International Journal of Control is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.) |
| PLink | https://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=egs&AN=189025348 |
| RecordInfo | BibRecord: BibEntity: Identifiers: – Type: doi Value: 10.1080/00207179.2025.2480612 Languages: – Code: eng Text: English PhysicalDescription: Pagination: PageCount: 16 StartPage: 2749 Subjects: – SubjectFull: Optimal control theory Type: general – SubjectFull: Stochastic difference equations Type: general – SubjectFull: Linear programming Type: general – SubjectFull: Stochastic processes Type: general – SubjectFull: Portfolio management (Investments) Type: general – SubjectFull: Constraint satisfaction Type: general – SubjectFull: Financial services industry Type: general Titles: – TitleFull: Discrete-time stochastic recursive optimal control under constraints and application to finance. Type: main BibRelationships: HasContributorRelationships: – PersonEntity: Name: NameFull: Zhang, Liangquan – PersonEntity: Name: NameFull: Zhang, Weihai IsPartOfRelationships: – BibEntity: Dates: – D: 01 M: 11 Text: Nov2025 Type: published Y: 2025 Identifiers: – Type: issn-print Value: 00207179 Numbering: – Type: volume Value: 98 – Type: issue Value: 11 Titles: – TitleFull: International Journal of Control Type: main |
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