Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions - Dombrovskii, Vladimir; Obyedko, Tatiana; Samorodova, Maria (Automatica (Oxford), 2018)
Keywords: Constraints; Investment portfolio; Markovian jumps; Model predictive control; Nonlinear stochastic systems; Investment portfolio; Model predictive control; Markovian jumps; Constraints; Nonlinear stochastic systems