Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/12370
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Date, P | - |
dc.contributor.author | Gashi, B | - |
dc.date.accessioned | 2016-03-17T15:20:16Z | - |
dc.date.available | 2013-09-09 | - |
dc.date.available | 2016-03-17T15:20:16Z | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | Systems and Control Letters, 62(10): pp. 988 - 999, (2013) | en_US |
dc.identifier.issn | 0167-6911 | - |
dc.identifier.uri | http://www.sciencedirect.com/science/article/pii/S0167691113001667 | - |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/12370 | - |
dc.description.abstract | In this paper, we consider the problem of optimal control for a class of nonlinear stochastic systems with multiplicative noise. The nonlinearity consists of quadratic terms in the state and control variables. The optimality criteria are of a risk-sensitive and generalised risk-sensitive type. The optimal control is found in an explicit closed-form by the completion of squares and the change of measure methods. As applications, we outline two special cases of our results. We show that a subset of the class of models which we consider leads to a generalised quadratic-affine term structure model (QATSM) for interest rates. We also demonstrate how our results lead to generalisation of exponential utility as a criterion in optimal investment. © 2013 Elsevier B.V. All rights reserved. | en_US |
dc.format.extent | 988 - 999 | - |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_US |
dc.subject | Risk-sensitive control | en_US |
dc.subject | Nonlinear systems | en_US |
dc.subject | Bond pricing | en_US |
dc.subject | Optimal investment | en_US |
dc.title | Risk-sensitive control for a class of nonlinear systems with multiplicative noise | en_US |
dc.type | Article | en_US |
dc.identifier.doi | http://dx.doi.org/10.1016/j.sysconle.2013.07.007 | - |
dc.relation.isPartOf | Systems and Control Letters | - |
pubs.issue | 10 | - |
pubs.publication-status | Published | - |
pubs.publication-status | Published | - |
pubs.volume | 62 | - |
Appears in Collections: | Dept of Mathematics Research Papers |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Fulltext.pdf | 361.6 kB | Adobe PDF | View/Open |
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.