• DocumentCode
    3089059
  • Title

    The rate of convergence and the asymptotic distributions for some adaptive control problems

  • Author

    Duncan, T.E. ; Pasik-Duncan, B.

  • Author_Institution
    University of Kansas, Lawrence, Kansas
  • Volume
    26
  • fYear
    1987
  • fDate
    9-11 Dec. 1987
  • Firstpage
    1666
  • Lastpage
    1669
  • Abstract
    The rate of convergence is given for a strongly consistent, recursive estimator for the unknown average return rate of the risky asset in a bilinear stochastic differential equation for the wealth in a portfolio selection and consumption model. This rate is in a sample path sense. The asymptotic normality of the cost is shown for the adaptive control of a linear stochastic control system with quadratic cost where the parameters appear affinely in the drift term.
  • Keywords
    Adaptive control; Convergence; Costs; Differential equations; Maximum likelihood estimation; Optimal control; Portfolios; Recursive estimation; State estimation; Stochastic processes;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 1987. 26th IEEE Conference on
  • Conference_Location
    Los Angeles, California, USA
  • Type

    conf

  • DOI
    10.1109/CDC.1987.272753
  • Filename
    4049582
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3089059