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

Vladimir Dombrovskii, Tatyana Obyedko, Maria Samorodova. Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions. Automatica, 87:61-68, 2018. [doi]

Abstract

Abstract is missing.