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Avtomatika i Telemekhanika, 2011, Issue 5, Pages 96–112
(Mi at1706)
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This article is cited in 26 scientific papers (total in 26 papers)
Stochastic Systems, Queuing Systems
Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
V. V. Dombrovskii, T. Yu. Ob''edko Tomsk State University, Tomsk, Russia
Abstract:
In the paper, we study a problem of control with a predictive model for discrete systems with Markovian jumps and multiplicative noises. A strategy to control with regard for explicit constraints on control variables is defined. The results are applied to control an investment portfolio under constraints on investment amounts.
Citation:
V. V. Dombrovskii, T. Yu. Ob"edko, “Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization”, Avtomat. i Telemekh., 2011, no. 5, 96–112; Autom. Remote Control, 72:5 (2011), 989–1003
Linking options:
https://www.mathnet.ru/eng/at1706 https://www.mathnet.ru/eng/at/y2011/i5/p96
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Statistics & downloads: |
Abstract page: | 425 | Full-text PDF : | 147 | References: | 49 | First page: | 15 |
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