Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions

DOI10.1016/j.automatica.2017.09.018zbMath1378.93143OpenAlexW2766640423MaRDI QIDQ680494

Maria Samorodova, Vladimir Dombrovskii, Tatiana Obyedko

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

zbMATH Keywords

Markovian jumpsmodel predictive controlnonlinear stochastic systemsconstraintsinvestment portfolio

Mathematics Subject Classification ID

Related Items (9)

Investment portfolio tracking using model predictive control ⋮ Stochastic optimal control problems of discrete‐time Markov jump systems ⋮ Adaptive event-triggered output tracking control for Markovian jump systems: a robust \(H_2/H_\infty\) MPC approach ⋮ Equilibrium multi-agent model with heterogeneous views on fundamental risks ⋮ Distributed model predictive control of positive Markov jump systems ⋮ Predictive control of investment portfolio on the financial market with hidden regime switching and MS VAR model of returns ⋮ Optimal portfolio execution problem with stochastic price impact ⋮ MultiObjective Dynamic Optimization of Investment Portfolio Based on Model Predictive Control ⋮ Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance

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