Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes

In this paper, the authors first study two kinds of stochastic differential equations (SDEs) with Lévy processes as noise source. Based on the existence and uniqueness of the solutions of these SDEs and multi-dimensional backward stochastic differential equations (BSDEs) driven by Lévy processes, the authors proceed to study a stochastic linear quadratic (LQ) optimal control problem with a Lévy process, where the cost weighting matrices of the state and control are allowed to be indefinite. One kind of new stochastic Riccati equation that involves equality and inequality constraints is derived from the idea of square completion and its solvability is proved to be sufficient for the well-posedness and the existence of optimal control which can be of either state feedback or open-loop form of the LQ problems. Moreover, the authors obtain the existence and uniqueness of the solution to the Riccati equation for some special cases. Finally, two examples are presented to illustrate these theoretical results. This work was supported by the National Basic Research Program of China (973 Program) under Grant No. 2007CB814904, the Natural Science Foundation of China under Grant No. 10671112 and Shandong Province under Grant No. Z2006A01, and Research Fund for the Doctoral Program of Higher Education of China under Grant No. 20060422018.     

随机线性二次最优控制在投资组合中的应用

提出一类随机线性二次最优控制问题,给出了一个新的随机黎卡提方程,若此方程有解,就可以得到系统的最优反馈控制;作为其应用,讨论了连续时间的均值-方差投资组合选择问题,其目标是投资组合的最终收益最大,风险最小,通过"嵌入"方法将其转化为随机线性二次最优控制问题,并在非自融资的条件下,得出最优证券组合;最后将其理论应用于实例分析.     

MAXIMUM PRINCIPLE FOR OPTIMAL CONTROLPROBLEM OF FULLY COUPLEDFORWARD-BACKWARD STOCHASTIC SYSTEMS

1.IntroductionLet(fi,F,P)beaprobabilityspaceand{Bt}tZobead-dimensionalBrownianmotioninthisspace.Let{R}tZobethenaturalfiltrationofthisBrownianmotion.Weconsiderthefollowingfullycoupledforward-backwardstochasticsystems:where(x,y,z)takesvaluesinR"xacxRTnxd.LetUbeanonemptyconvexsubsetofR',Anelementofadiscalledanadmissiblecontrol.Wecandefinethefollowingcostfunction:TheoptimalcontrolproblemistominimizethecostfunctionJ(v(.))overadmissiblecontrols.Anadmissiblecontrolu(.)iscalledanoptimalcontrol…     

FIXED POINTS OF THE lTH POWER OF DIFFERENTIAL POLYNOMIALS GENERATED BY SOLUTIONS OF DIFFERENTIAL EQUATIONS

In this paper, we study the problem on the fixed points of the lth power of linear differential polynomials generated by second order linear differential equations. Because of the control of differential equation, we can obtain some precise estimate of their fixed points.     

离散Markov跳变线性系统最优控制

针对离散Markov跳变系统,研究其最优控制问题。首先确立一个二次型代价函数,然后运用随机贝尔曼动态规划法,结合Markov跳变系统特性求解贝尔曼方程,获得了完全状态信息情形下Markov跳变系统的最优控制器和黎卡提差分方程;进而将其推广到不完全状态信息情形,利用观测向量获得状态的后验概率密度函数,推导了最优控制器的解析结构和相应的求解算法;最后通过数值仿真验证了所得控制器的有效性。     

带有风险规避的证券投资最优策略

运用随机最优控制理论,建立了带有风险规避的证券投资最优策略问题的数学模型;然后,给出了值函数和风险规避系数的定义,并通过对值函数进行非线性变换,证明了变换后的值函数满足带有风险规避系数的HJB偏微分方程,特别当风险规避系数无限大时,给出了证券投资最优策略;最后给出了一个算例.     

Uniform Convergence of the Solutions of Riccati Equations for a Family of Optimal Control Problems

The uniform convergence of the solutions of a parameterized family of Riccati differential equations which arise in the context of optimal control problems for systems described by a family of linear time-varying evolution equations is considered on the infinite time interval in Hilbert space. Some sufficient conditions and an illustrative example are given for uniform convergence of the solutions of a family of the Riccati differential equations. The uniform convergence of the solutions of the Riccati differential equations with respect to parameters is important for applications to problems in adaptive control of stochastic evolution systems.     

A maximum principle for general backward stochastic differential equation

In this paper, the authors consider a stochastic control problem where the system is governed by a general backward stochastic differential equation. The control domain need not be convex, and the diffusion coefficient can contain a control variable. The authors obtain a stochastic maximum principle for the optimal control of this problem by virtue of the second-order duality method.     

线性系统的故障检测和最优容错控制

针对系统中含有执行器故障和传感器故障的情况,研究了线性系统的故障检测和最优容错控制问题。利用Riccati矩阵方程和Sylvester方程设计了故障情况下的动态最优容错控制律,并设计了能同时检测出故障状态和系统状态的增广的降维故障检测器,解决了最优控制中故障状态的物理不可实现问题,从而实现了系统的故障检测和容错控制并能满足二次型性能指标。仿真实例验证了这种故障检测方法和最优容错控制的有效性。     

Self-tuning measurement fusion white noise deconvolution estimator with correlated noises

For the multisensor linear discrete time-invariant stochastic systems with correlated noises and unknown noise statistics, an on-line noise statistics estimator is presented by using the correlation method. Substituting it into the steady-state Riccati equation, the self-tuning Riccati equation is obtained. Using the Kalman filtering method, based on the self-tuning Riccati equation, a self-tuning weighted measurement fusion white noise deconvolution estimator is presented. By the dynamic error system analysis (DESA) method, it is proved that the self-tuning fusion white noise deconvolution estimator converges to the optimal fusion steadystate white noise deconvolution estimator in a realization, so that it has the asymptotic global optimality. A simulation example for Bernoulli-Gaussian input white noise shows its effectiveness.     

STOCHASTIC SYSTEM IDENTIFICATION VIA ADAPTIVE SPECTRAL FACTORIZATION

We consider in this paper the problem of recursive identification for stochastic systemswhen the noise model does not satisfy the positive real condition associated with convergence ofstandard algorithms.To avoid the positive real condition,adaptive spectral factorization techniquesare exploited on the basis of a class of non-standard time-varying recursive Riccati equations.Theasymptotic properties of the Riccati equations are studied as a crucial step to the convergence resultsof the paper.     

常弹性方差模型下保险人的最优投资策略

假设风险资产价格服从常弹性方差(CEV)模型, 保险人面临的风险过程是带漂移的布朗运动. 投资过程与承保风险过程完全相关. 根据随机最优控制理论, 建立保险基金投资问题的HJB方程. 由于该方程是非线性偏微分方程, 不易求解, 因此采用Legendre变换将其转换成对偶问题进行研究. 最后针对特定参数值分别得到以CARA和CRRA效用函数为目标的保险人的最优投资策略, 这样的投资策略更符合金融市场的实际要求.     

ON SUFFICIENT AND NECESSARY OF EXISTENCE FOR A CLASS OF SINGULAR OPTIMAL STOCHASTIC CONTROL

We study a class of discounted models of singular stochastic control. In this kind of models, not only the structure of cost function has been extended to some general type, but also the state can be represented as the solution of a class of stochastic differential equations with nonlinear drift and diffusion term. By the various methods of stochastic analysis, we derive the sufllcient and necessary conditions of the existence of optimal control.     

H 2/H ∞ control problems of backward stochastic systems

This paper is concerned with the mixed H2/H∞ control problem for a new class of stochastic systems with exogenous disturbance signal.The most distinguishing feature,compared with the existing literatures,is that the systems are described by linear backward stochastic differential equations（BSDEs）.The solution to this problem is obtained completely and explicitly by using an approach which is based primarily on the completion-of-squares technique.Two equivalent expressions for the H2/H∞ control are presented.Contrary to forward deterministic and stochastic cases,the solution to the backward stochastic H2/H∞ control is no longer feedback of the current state;rather,it is feedback of the entire history of the state.     

Linear Quadratic Regulation for Discrete-Time Systems with Input Delay: Spectral Factorization Approach

The infinite-horizon linear quadratic regulation （LQR） problem is settled for discretetime systems with input delay. With the help of an autoregressive moving average （ARMA） innovation model, solutions to the underlying problem are obtained. The design of the optimal control law involves in resolving one polynomial equation and one spectral factorization. The latter is the major obstacle of the present problem, and the reorganized innovation approach is used to clear it up. The calculation of spectral factorization finally comes down to solving two Riccati equations with the same dimension as the original systems.     

Optimal Reinsurance and Investment Strategies Under Mean-Variance Criteria: Partial and Full Information

This paper is concerned with an optimal reinsurance and investment problem for an insurance firm under the criterion of mean-variance. The driving Brownian motion and the rate in return of the risky asset price dynamic equation cannot be directly observed. And the short-selling of stocks is prohibited. The problem is formulated as a stochastic linear-quadratic control problem where the control variables are constrained. Based on the separation principle and stochastic filtering theory, the partial information problem is solved. Efficient strategies and efficient frontier are presented in closed forms via solutions to two extended stochastic Riccati equations. As a comparison, the efficient strategies and efficient frontier are given by the viscosity solution to the HJB equation in the full information case. Some numerical illustrations are also provided.

     

Maximum principle for partially-observed optimal control problems of stochastic delay systems

This paper is concerned with partially-observed optimal control problems for stochastic delay systems. Combining Girsanov’s theorem with a standard variational technique, the authors obtain a maximum principle on the assumption that the system equation contains time delay and the control domain is convex. The related adjoint processes are characterized as solutions to anticipated backward stochastic differential equations in finite-dimensional spaces. Then, the proposed theoretical result is applied to study partially-observed linear-quadratic optimal control problem for stochastic delay system and an explicit observable control variable is given.     

State Estimation of Discrete Stochastic Singular System

1　 IntroductionIn the area of singular systems control much work has been done recently. The basictheory of singular systems has been proposed. A lot of results are obtained fordeterministic singluar systems[1～ 2 ] . However,only a few results are from stochasticsingular systems[3～ 5] ,in which attention is paid to time-invariant stochastic singularsystems. The state estimation and observation problems of time-invariant stochasticsingular systems have been discussed in[3 ] .The state estim…     

一种基于随机优势的对话式决策方法

讨论应用随机优势原则求解随机决策问题的对话式决策方法．文中首先证明了在一定条件下可用一系列已知函数的正线性组合逼近决策人的效用函数所在的类，在此基础上，给出了在决策人提供新信息时确定新的效用函数类并在此新类中判断两方案随机优势关系的方法，进而提出了使决策人隐知的效用函数的数学期望达到最大的对话式决策程序．     

STOCHASTIC PR0GRAMMING METHOD FOR MULTIPERIOD CONSUMPTION AND INVESTMENT PROBLEMS WITH TRANSACTIONS COSTS

Using the GARCH model to describe the risky asset's return process so thatits time-varying moments and conditional heteroskedasticity can be properly reflected,general multiperiod optimal investment and consumption problems with both fixed andproportional transactions costs are investigated in this paper. We model this kind ofdifficult problems as a dynamic stochastic optimization problem, which can cope withdifferent utility functions and any number of time periods. The procedure to solve theresulting complex nonlinear stochastic optimization problem is discussed in detail and abranch-decomposition algorithm is devised.