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Avtomatika i Telemekhanika, 2011, Issue 5, Pages 96–112 (Mi at1706)  
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
Full-text PDF (567 kB) Citations (26)
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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.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 02.03.2010
English version:
Automation and Remote Control, 2011, Volume 72, Issue 5, Pages 989–1003
DOI: https://doi.org/10.1134/S0005117911050079
Bibliographic databases:
Document Type: Article
Language: Russian
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
Citation in format AMSBIB
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\paper Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
\jour Avtomat. i Telemekh.
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\issue 5
\pages 96--112
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\transl
\jour Autom. Remote Control
\yr 2011
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\issue 5
\pages 989--1003
\crossref{https://doi.org/10.1134/S0005117911050079}
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  • https://www.mathnet.ru/eng/at/y2011/i5/p96
    • This publication is cited in the following 26 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Avtomatika i Telemekhanika
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    Abstract page:425
    Full-text PDF :147
    References:49
    First page:15
     
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