Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information

2013 ◽  
Vol 4 (1) ◽  
pp. 916-960 ◽  
Author(s):  
Andrew Papanicolaou
Keyword(s):  
Dimension Reduction ◽  
Portfolio Optimization ◽  
Discrete Time ◽  
Partial Information

Finite-time H∞ filtering for discrete-time Markovian jump systems with partly unknown transition probabilities

2013 ◽  
Vol 91 (12) ◽  
pp. 1020-1028 ◽  
Author(s):  
Jun Cheng ◽  
Hong Zhu ◽  
Shouming Zhong ◽  
Yuping Zhang ◽  
Guihua Li
Keyword(s):  
Discrete Time ◽  
Finite Time ◽  
Partial Information ◽  
Transition Probabilities ◽  
Sufficient Conditions ◽  
Markovian Jump Systems ◽  
Markovian Jump ◽  
Partly Unknown Transition Probabilities ◽  
Stability And Stabilization ◽  
Jump Systems

This paper addresses the problems of finite-time stochastic stability and stabilization for linear Markovian jump systems subject to partial information on the transition probabilities. By introducing bounded finite time and stochastic character, sufficient conditions that can ensure bounded finite time and H∞ finite-time bounded filtering are derived. Finally, an example is given to illustrate the efficiency of the proposed method.

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