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**Uncertain optimal control with application to a portfolio selection model.**
*(English)*
Zbl 1225.93121

Summary: Optimal control is a very important field of study not only in theory but in applications, and stochastic optimal control is also a significant branch of research in theory and applications. Based on the concept of uncertain processes, an uncertain optimal control problem is dealt with. Applying Bellman’s principle of optimality, a principle of optimality for an uncertain optimal control is obtained, and then a fundamental result called the equation of optimality in uncertain optimal control is given. Finally, as an application, the equation of optimality is used to solve a portfolio selection model.

### MSC:

93E20 | Optimal stochastic control |

49L20 | Dynamic programming in optimal control and differential games |

### Keywords:

equation of optimality; optimal control; portfolio selection; principle of optimality; uncertain process
Full Text:
DOI

### References:

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