{"id":"https://openalex.org/W2033947719","doi":"https://doi.org/10.1080/00207170802050825","title":"Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise","display_name":"Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise","publication_year":2008,"publication_date":"2008-09-27","ids":{"openalex":"https://openalex.org/W2033947719","doi":"https://doi.org/10.1080/00207170802050825","mag":"2033947719"},"language":"en","primary_location":{"id":"doi:10.1080/00207170802050825","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00207170802050825","pdf_url":null,"source":{"id":"https://openalex.org/S88061139","display_name":"International Journal of Control","issn_l":"0020-7179","issn":["0020-7179","1366-5820"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Control","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5072909119","display_name":"O.L.V. Costa","orcid":"https://orcid.org/0000-0002-0875-8698"},"institutions":[{"id":"https://openalex.org/I17974374","display_name":"Universidade de S\u00e3o Paulo","ror":"https://ror.org/036rp1748","country_code":"BR","type":"education","lineage":["https://openalex.org/I17974374"]}],"countries":["BR"],"is_corresponding":true,"raw_author_name":"O.L.V. Costa","raw_affiliation_strings":["a   Departamento de Engenharia de Telecomunica\u00e7\u00f5es e Controle , Escola Polit\u00e9cnica da Universidade de S\u00e3o Paulo, CEP , S\u00e3o Paulo, SP,  Brazil"],"affiliations":[{"raw_affiliation_string":"a   Departamento de Engenharia de Telecomunica\u00e7\u00f5es e Controle , Escola Polit\u00e9cnica da Universidade de S\u00e3o Paulo, CEP , S\u00e3o Paulo, SP,  Brazil","institution_ids":["https://openalex.org/I17974374"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5084133283","display_name":"Rodrigo Takashi Okimura","orcid":null},"institutions":[{"id":"https://openalex.org/I17974374","display_name":"Universidade de S\u00e3o Paulo","ror":"https://ror.org/036rp1748","country_code":"BR","type":"education","lineage":["https://openalex.org/I17974374"]}],"countries":["BR"],"is_corresponding":false,"raw_author_name":"R.T. Okimura","raw_affiliation_strings":["a   Departamento de Engenharia de Telecomunica\u00e7\u00f5es e Controle , Escola Polit\u00e9cnica da Universidade de S\u00e3o Paulo, CEP , S\u00e3o Paulo, SP,  Brazil"],"affiliations":[{"raw_affiliation_string":"a   Departamento de Engenharia de Telecomunica\u00e7\u00f5es e Controle , Escola Polit\u00e9cnica da Universidade de S\u00e3o Paulo, CEP , S\u00e3o Paulo, SP,  Brazil","institution_ids":["https://openalex.org/I17974374"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5072909119"],"corresponding_institution_ids":["https://openalex.org/I17974374"],"apc_list":null,"apc_paid":null,"fwci":6.9725,"has_fulltext":false,"cited_by_count":23,"citation_normalized_percentile":{"value":0.96228357,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"82","issue":"2","first_page":"256","last_page":"267"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9965000152587891,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9886999726295471,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/multiplicative-noise","display_name":"Multiplicative noise","score":0.7747999429702759},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.6563255786895752},{"id":"https://openalex.org/keywords/multiplicative-function","display_name":"Multiplicative function","score":0.6270049214363098},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5897608995437622},{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.5532525777816772},{"id":"https://openalex.org/keywords/noise","display_name":"Noise (video)","score":0.48267558217048645},{"id":"https://openalex.org/keywords/discrete-time-and-continuous-time","display_name":"Discrete time and continuous time","score":0.46659421920776367},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.4327351450920105},{"id":"https://openalex.org/keywords/control","display_name":"Control (management)","score":0.4308352470397949},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.418287068605423},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4179884195327759},{"id":"https://openalex.org/keywords/control-theory","display_name":"Control theory (sociology)","score":0.36651337146759033},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3463314175605774},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.2903180718421936},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.16602641344070435},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.14914998412132263}],"concepts":[{"id":"https://openalex.org/C18015164","wikidata":"https://www.wikidata.org/wiki/Q6935000","display_name":"Multiplicative noise","level":5,"score":0.7747999429702759},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.6563255786895752},{"id":"https://openalex.org/C42747912","wikidata":"https://www.wikidata.org/wiki/Q1048447","display_name":"Multiplicative function","level":2,"score":0.6270049214363098},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5897608995437622},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.5532525777816772},{"id":"https://openalex.org/C99498987","wikidata":"https://www.wikidata.org/wiki/Q2210247","display_name":"Noise (video)","level":3,"score":0.48267558217048645},{"id":"https://openalex.org/C55689738","wikidata":"https://www.wikidata.org/wiki/Q15963867","display_name":"Discrete time and continuous time","level":2,"score":0.46659421920776367},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.4327351450920105},{"id":"https://openalex.org/C2775924081","wikidata":"https://www.wikidata.org/wiki/Q55608371","display_name":"Control (management)","level":2,"score":0.4308352470397949},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.418287068605423},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4179884195327759},{"id":"https://openalex.org/C47446073","wikidata":"https://www.wikidata.org/wiki/Q5165890","display_name":"Control theory (sociology)","level":3,"score":0.36651337146759033},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3463314175605774},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2903180718421936},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.16602641344070435},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.14914998412132263},{"id":"https://openalex.org/C131021393","wikidata":"https://www.wikidata.org/wiki/Q7512759","display_name":"Signal transfer function","level":4,"score":0.0},{"id":"https://openalex.org/C9390403","wikidata":"https://www.wikidata.org/wiki/Q3966","display_name":"Computer hardware","level":1,"score":0.0},{"id":"https://openalex.org/C115961682","wikidata":"https://www.wikidata.org/wiki/Q860623","display_name":"Image (mathematics)","level":2,"score":0.0},{"id":"https://openalex.org/C84462506","wikidata":"https://www.wikidata.org/wiki/Q173142","display_name":"Digital signal processing","level":2,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0},{"id":"https://openalex.org/C13412647","wikidata":"https://www.wikidata.org/wiki/Q174948","display_name":"Analog signal","level":3,"score":0.0},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1080/00207170802050825","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00207170802050825","pdf_url":null,"source":{"id":"https://openalex.org/S88061139","display_name":"International Journal of Control","issn_l":"0020-7179","issn":["0020-7179","1366-5820"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Control","raw_type":"journal-article"},{"id":"pmh:oai:www.producao.usp.br:BDPI/18715","is_oa":false,"landing_page_url":"http://producao.usp.br/handle/BDPI/18715","pdf_url":null,"source":{"id":"https://openalex.org/S4306401373","display_name":"Scientific Electronic Library Online (S\u00e3o Paulo Research Foundation, Latin American and Caribbean Center on Health Sciences Information, Conselho Nacional de Desenvolvimento Cient\u00edfico e Tecnol\u00f3gico)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I2982035970","host_organization_name":"Costa Rican Department of Social Security","host_organization_lineage":["https://openalex.org/I2982035970"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"","raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":36,"referenced_works":["https://openalex.org/W128939367","https://openalex.org/W173536089","https://openalex.org/W1490978409","https://openalex.org/W1567860938","https://openalex.org/W1988916339","https://openalex.org/W1992891325","https://openalex.org/W1996731752","https://openalex.org/W2002788332","https://openalex.org/W2010680506","https://openalex.org/W2011410566","https://openalex.org/W2012698672","https://openalex.org/W2015856032","https://openalex.org/W2023119912","https://openalex.org/W2036192885","https://openalex.org/W2040759244","https://openalex.org/W2056822163","https://openalex.org/W2063083810","https://openalex.org/W2066213880","https://openalex.org/W2072287534","https://openalex.org/W2085317472","https://openalex.org/W2096332174","https://openalex.org/W2126394835","https://openalex.org/W2126682207","https://openalex.org/W2131500511","https://openalex.org/W2132621139","https://openalex.org/W2139555432","https://openalex.org/W2161903344","https://openalex.org/W2164154633","https://openalex.org/W2165676571","https://openalex.org/W2166134957","https://openalex.org/W2598219059","https://openalex.org/W2795413297","https://openalex.org/W2997572556","https://openalex.org/W3121342156","https://openalex.org/W3158610175","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W2100121758","https://openalex.org/W3022718941","https://openalex.org/W4287812451","https://openalex.org/W1996414039","https://openalex.org/W2506602630","https://openalex.org/W3097284316","https://openalex.org/W2173274883","https://openalex.org/W2072007764","https://openalex.org/W1972866839","https://openalex.org/W2943897807"],"abstract_inverted_index":{"In":[0,40],"this":[1,138],"article,":[2],"we":[3],"consider":[4],"the":[5,29,33,38,41,49,53,64,72,76,88,103,109,112,120,134],"stochastic":[6],"optimal":[7,124],"control":[8,125],"problem":[9,43],"of":[10,24,32,37,52,75,102,108,111,122,144],"discrete-time":[11],"linear":[12,100],"systems":[13],"subject":[14,55,78],"to":[15,28,47,56,70,79],"Markov":[16],"jumps":[17],"and":[18,35,86,106],"multiplicative":[19],"noise":[20],"under":[21],"three":[22],"kinds":[23],"performance":[25,95],"criterions":[26],"related":[27],"final":[30,50,61,73,84,104],"value":[31],"expectation":[34,74,107],"variance":[36,51,105],"output.":[39],"first":[42],"it":[44,67,91],"is":[45,68,92],"desired":[46,69],"minimise":[48],"output":[54,77,110],"a":[57,80,94,99,141],"restriction":[58,81],"on":[59,82],"its":[60,83],"expectation,":[62],"in":[63,87,133],"second":[65],"one":[66,90],"maximise":[71],"variance,":[85],"third":[89],"considered":[93],"criterion":[96],"composed":[97],"by":[98],"combination":[101],"system.":[113],"We":[114,136],"present":[115],"explicit":[116],"sufficient":[117],"conditions":[118],"for":[119,127,150],"existence":[121],"an":[123,145],"strategy":[126],"these":[128],"problems,":[129],"generalising":[130],"previous":[131],"results":[132],"literature.":[135],"conclude":[137],"article":[139],"presenting":[140],"numerical":[142],"example":[143],"asset":[146],"liabilities":[147],"management":[148],"model":[149],"pension":[151],"funds":[152],"with":[153],"regime":[154],"switching.":[155]},"counts_by_year":[{"year":2020,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":3}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}