On the stability of receding horizon control for continuous-time stochastic systems
From MaRDI portal
Publication:2440018
DOI10.1016/j.sysconle.2013.11.004zbMath1283.93321arXiv1208.3830MaRDI QIDQ2440018
Fajin Wei, Andrea Lecchini-Visintini
Publication date: 26 March 2014
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1208.3830
stochastic optimal control; stochastic differential equations; Lyapunov functions; Hamilton-Jacobi-Bellman equations; receding horizon control; Itô's formula; optimal investment
91B06: Decision theory
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
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