Title of article :
On the stability of receding horizon control for continuous-time stochastic systems
Author/Authors :
Wei، نويسنده , , Fajin and Lecchini-Visintini، نويسنده , , Andrea، نويسنده ,
Issue Information :
ماهنامه با شماره پیاپی سال 2014
Abstract :
We study the stability of receding horizon control for continuous-time non-linear stochastic differential equations. We illustrate the results with a simulation example in which we employ receding horizon control to design an investment strategy to repay a debt.
Keywords :
Hamilton–Jacobi–Bellman equations , Stochastic optimal control , Lyapunov functions , Itô’s formula , Optimal investment , receding horizon control , stochastic differential equations
Journal title :
Systems and Control Letters
Journal title :
Systems and Control Letters
