Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions
Copyright policy )Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions
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- National Research University of Electronic Technology Russian Federation
- Tomsk State Pedagogical University Russian Federation
nonlinear stochastic systems, model predictive control, investment portfolio, Portfolio theory, Markovian jumps, нелинейные стохастические системы, модели прогнозирования, Optimal stochastic control, Nonlinear systems in control theory, Stochastic systems in control theory (general), марковские системы, Jump processes, Инвестиционный портфель, constraints
nonlinear stochastic systems, model predictive control, investment portfolio, Portfolio theory, Markovian jumps, нелинейные стохастические системы, модели прогнозирования, Optimal stochastic control, Nonlinear systems in control theory, Stochastic systems in control theory (general), марковские системы, Jump processes, Инвестиционный портфель, constraints
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