EID-based sliding mode investment policy design for fuzzy stochastic jump financial systems |
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| Affiliation: | 1. Department of Applied Mathematics, Bharathiar University, Coimbatore 641046, India;2. Department of Mathematics, School of Advanced Sciences, Vellore Institute of Technology University, Chennai 600127, India;3. School of Electrical Engineering, Chungbuk National University, Cheongju 28644, South Korea;1. Department of Mathematics, Sungkyunkwan University, Suwon 440-746, South Korea;2. Department of Mathematics, Anna University Regional Campus, Coimbatore 641046, India;1. School of Electrical Engineering, Chungbuk National University, Cheongju 28644, Republic of Korea;2. Center for Global Converging Humanities, Kyung Hee University, Yongin 17104, Republic of Korea;3. Department of Applied Mathematics, Bharathiar University, Coimbatore 641046, India |
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| Abstract: | This paper proposes a sliding mode investment policy design for nonlinear stochastic financial systems which can be represented by the well-known Takagi–Sugeno fuzzy model. When modeling the financial systems, it is more important to consider the unpredictable investment changes and worldwide unpredictable events which can be regarded as external disturbances. The equivalent-input-disturbance (EID) approach combined with sliding mode investment policy design is implemented to reject the unpredictable investment changes for having better investment. Moreover, the Luenberger state observer is constructed for the addressed financial system to estimate the unpredictable investment changes and worldwide unpredictable events. More precisely, a sliding mode investment policy design is developed by solving the obtained linear matrix inequality (LMI)-based constrained algorithm. Finally, the obtained results of the addressed fuzzy stochastic financial system are verified through numerical simulation to show efficiency of the proposed sliding mode investment policy design. |
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| Keywords: | Nonlinear stochastic financial system EID estimator Takagi–Sugeno fuzzy model Sliding mode investment policy design |
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