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

DOI10.1002/rnc.4807zbMath1447.93085OpenAlexW2996181028WikidataQ126591634 ScholiaQ126591634MaRDI QIDQ3300432

Tatiana Pashinskaya, Vladimir Dombrovskii

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

zbMATH Keywords

transaction costsmarket frictionsmodel predictive controlportfolio selectionMarkov jump stochastic systems

Mathematics Subject Classification ID

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

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An efficient robust model predictive control for nonlinear Markov jump systems with persistent disturbances using matrix partition ⋮ Asynchronous output feedback control for Markov jump systems under dynamic event‐triggered strategy ⋮ Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance

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