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

DOI10.1002/RNC.4807zbMATH Open1447.93085OpenAlexW2996181028WikidataQ126591634 ScholiaQ126591634MaRDI QIDQ3300432FDOQ3300432

Authors: Vladimir Dombrovskii, Tatiana Pashinskaya 

Publication date: 29 July 2020

Published in: International Journal of Robust and Nonlinear Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/rnc.4807

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zbMATH Keywords

model predictive controlportfolio selectiontransaction costsmarket frictionsMarkov jump stochastic systems

Mathematics Subject Classification ID

Portfolio theory (91G10) Local time and additive functionals (60J55) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Stochastic systems in control theory (general) (93E03) Model predictive control (93B45)

Cited In (9)

• Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance
• An efficient robust model predictive control for nonlinear Markov jump systems with persistent disturbances using matrix partition
• Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises
• Asynchronous output feedback control for Markov jump systems under dynamic event‐triggered strategy
• Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization
• STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION
• Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization
• Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
• Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions

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