Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance (Q5026618): Difference between revisions

Latest revision as of 22:36, 27 July 2024

scientific article; zbMATH DE number 7470741

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English	Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance	scientific article; zbMATH DE number 7470741

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instance of

scholarly article

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title

Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance (English)

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International Journal of Systems Science

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publication date

8 February 2022

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zbMATH Keywords

model predictive control

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Markov jump bilinear stochastic systems

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constraints

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portfolio selection

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/00207721.2020.1814892

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cites work

Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises

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Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates

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Dynamic option hedging via stochastic model predictive control based on scenario simulation

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An interpolation strategy for discrete-time bilinear MPC problems

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Bilinear systems: An appealing class of "nearly linear" systems in theory and applications

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On control of discrete-time state-dependent jump linear systems with probabilistic constraints: a receding horizon approach

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A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

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Q4651858

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Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization

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Feedback predictive control strategies for investment in the financial market with serially correlated returns subject to constraints and trading costs

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Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions

0 references

Design of model predictive control for constrained Markov jump linear systems with multiplicative noises and online portfolio selection

0 references

Q4323296

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Dynamic network model of managing investment portfolio under random stepwise changes in volatilities of financial assets

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Dynamic option hedging with transaction costs: A stochastic model predictive control approach

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Markov Switching Models in Empirical Finance

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STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION

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Sequential Monte Carlo for Model Predictive Control

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60 years of portfolio optimization: practical challenges and current trends

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Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis

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Portfolio selection in a two-regime world

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Stochastic model predictive control for probabilistically constrained Markovian jump linear systems with additive disturbance

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Model predictive control: recent developments and future promise

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An Overview of Stochastic Bilinear Control Processes

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Optimization and control of bilinear systems. Theory, algorithms, and applications

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Stochastic model predictive control for constrained discrete-time Markovian switching systems

0 references

Exact filtering in conditionally Markov switching hidden linear models

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Dynamic hedging of basket options under proportional transaction costs using receding horizon control

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Stable receding-horizon scenario predictive control for Markov-jump linear systems

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Control design for discrete-time bilinear systems using the scalarized Schur complement

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Identifiers

zbMATH Open document ID

1483.93143

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DOI

10.1080/00207721.2020.1814892

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5026618

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/00207721.2020.1814892
+Normal rank
@@ Property / OpenAlex ID @@
+W3083160985
@@ Property / OpenAlex ID: W3083160985 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises
+Normal rank
@@ Property / cites work @@
+Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
+Normal rank
@@ Property / cites work @@
+Dynamic option hedging via stochastic model predictive control based on scenario simulation
+Normal rank
@@ Property / cites work @@
+An interpolation strategy for discrete-time bilinear MPC problems
+Normal rank
@@ Property / cites work @@
+Bilinear systems: An appealing class of "nearly linear" systems in theory and applications
+Normal rank
@@ Property / cites work @@
+On control of discrete-time state-dependent jump linear systems with probabilistic constraints: a receding horizon approach
+Normal rank
@@ Property / cites work @@
+A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
+Normal rank
@@ Property / cites work @@
+Q4651858
@@ Property / cites work: Q4651858 / rank @@
+Normal rank
@@ Property / cites work @@
+Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization
+Normal rank
@@ Property / cites work @@
+Feedback predictive control strategies for investment in the financial market with serially correlated returns subject to constraints and trading costs
+Normal rank
@@ Property / cites work @@
+Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions
+Normal rank
@@ Property / cites work @@
+Design of model predictive control for constrained Markov jump linear systems with multiplicative noises and online portfolio selection
+Normal rank
@@ Property / cites work @@
+Q4323296
@@ Property / cites work: Q4323296 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic network model of managing investment portfolio under random stepwise changes in volatilities of financial assets
+Normal rank
@@ Property / cites work @@
+Dynamic option hedging with transaction costs: A stochastic model predictive control approach
+Normal rank
@@ Property / cites work @@
+Markov Switching Models in Empirical Finance
@@ Property / cites work: Markov Switching Models in Empirical Finance / rank @@
+Normal rank
@@ Property / cites work @@
+STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION
+Normal rank
@@ Property / cites work @@
+Sequential Monte Carlo for Model Predictive Control
+Normal rank
@@ Property / cites work @@
+years of portfolio optimization: practical challenges and current trends
+Normal rank
@@ Property / cites work @@
+Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
+Normal rank
@@ Property / cites work @@
+Portfolio selection in a two-regime world
@@ Property / cites work: Portfolio selection in a two-regime world / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic model predictive control for probabilistically constrained Markovian jump linear systems with additive disturbance
+Normal rank
@@ Property / cites work @@
+Model predictive control: recent developments and future promise
+Normal rank
@@ Property / cites work @@
+An Overview of Stochastic Bilinear Control Processes
+Normal rank
@@ Property / cites work @@
+Optimization and control of bilinear systems. Theory, algorithms, and applications
+Normal rank
@@ Property / cites work @@
+Stochastic model predictive control for constrained discrete-time Markovian switching systems
+Normal rank
@@ Property / cites work @@
+Exact filtering in conditionally Markov switching hidden linear models
+Normal rank
@@ Property / cites work @@
+Dynamic hedging of basket options under proportional transaction costs using receding horizon control
+Normal rank
@@ Property / cites work @@
+Stable receding-horizon scenario predictive control for Markov-jump linear systems
+Normal rank
@@ Property / cites work @@
+Control design for discrete-time bilinear systems using the scalarized Schur complement
+Normal rank