Ln this paper, the general form of ridge regression by obtaining. The explicit solution is founel to depend upon certain limit/ convergence far generalized Ridge Regression.
Relying on both stochastic calculus and optimal control theory, we obtain its explicit solution of optimal return function and corresponding singular control strategy.
In the second part, we discuss the time-optimal control problem for an ordinary differential system with a pointwise state-constraint. We give the explicit solution.
Using the dynamic programming approach, an explicit solution to the value function of the optimal portfolio problem is obtained by the HJB equation, and the optimal investment strategy is given.
