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- W3121701644 abstract "This paper first describes a class of uncertain stochastic control systems with Markovian switching, and derives an It^o-Liu formula for Markov-modulated processes. And we characterize an optimal control law, which satisfies the generalized Hamilton-Jacobi-Bellman (HJB) equation with Markovian switching. Then, by using the generalized HJB equation, we deduce the optimal consumption and portfolio policies under uncertain stochastic financial markets with Markovian switching. Finally, for constant relative risk-aversion (CRRA) felicity functions, we explicitly obtain the optimal consumption and portfolio policies. Moreover, we also make an economic analysis through numerical examples." @default.
- W3121701644 created "2021-02-01" @default.
- W3121701644 creator A5038372877 @default.
- W3121701644 date "2014-01-01" @default.
- W3121701644 modified "2023-09-27" @default.
- W3121701644 title "Optimal control of uncertain stochastic systems with Markovian switching and its applications to portfolio decisions" @default.
- W3121701644 hasPublicationYear "2014" @default.
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