Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions
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Publication:680494
DOI10.1016/J.AUTOMATICA.2017.09.018zbMATH Open1378.93143OpenAlexW2766640423MaRDI QIDQ680494FDOQ680494
Authors: Vladimir Dombrovskii, Tatiana Obyedko, Maria Samorodova 
Publication date: 23 January 2018
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2017.09.018
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Portfolio theory (91G10) Nonlinear systems in control theory (93C10) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)
Cites Work
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- Stochastic model predictive control for constrained discrete-time Markovian switching systems
- Robust design of stochastic controllers for nonlinear systems
- 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
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Cited In (17)
- Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance
- Distributed model predictive control of positive Markov jump systems
- Design of model predictive control for constrained Markov jump linear systems with multiplicative noises and online portfolio selection
- Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
- Investment portfolio tracking using model predictive control
- Adaptive event-triggered output tracking control for Markovian jump systems: a robust \(H_2/H_\infty\) MPC approach
- Predictive control of investment portfolio on the financial market with hidden regime switching and MS VAR model of returns
- Equilibrium multi-agent model with heterogeneous views on fundamental risks
- Stochastic model predictive control for constrained discrete-time Markovian switching systems
- Multiobjective dynamic optimization of investment portfolio based on model predictive control
- Stochastic optimal control problems of discrete‐time Markov jump systems
- The application of model predictive control on stock portfolio optimization with prediction based on geometric Brownian motion-Kalman filter
- Optimal portfolio execution problem with stochastic price impact
- 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 systems with random dependent parameters under constraints and its application to the investment portfolio optimization
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