This article is cited 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.

Presented by the member of Editorial Board: A. I. Kibzun

Received: 02.03.2010

 English version: Automation and Remote Control, 2011, 72:5, 989–1003

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