Abstract

In this paper we study a control-constrained stochastic LQ optimal control problem with random coefficients on the infinite time horizon. For this, two generalized infinite time horizon stochastic Riccati equations are introduced to give the explicit optimal control and optimal cost. Finally, the control problem of pension fund with DB scheme is presented to demonstrate the application of our study as an example.

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.