Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions (Q680494)
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scientific article; zbMATH DE number 6828756
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| English | Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions |
scientific article; zbMATH DE number 6828756 |
Statements
Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions (English)
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23 January 2018
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model predictive control
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nonlinear stochastic systems
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Markovian jumps
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constraints
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investment portfolio
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0.9018318057060242
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0.8896885514259338
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0.8646264672279358
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0.8515623807907104
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