TY - JOUR
T1 - On the stability of receding horizon control for continuous-time stochastic systems
AU - Wei, Fajin
AU - Lecchini-Visintini, Andrea
N1 - Funding Information:
The authors gratefully acknowledge the constructive comments of an anonymous referee. This work was supported by EPSRC Research Grant EP/H021558/1 .
PY - 2014/1
Y1 - 2014/1
N2 - 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.
AB - 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.
KW - Hamilton-Jacobi-Bellman equations
KW - Itô's formula
KW - Lyapunov functions
KW - Optimal investment
KW - Receding horizon control
KW - Stochastic differential equations
KW - Stochastic optimal control
UR - http://www.scopus.com/inward/record.url?scp=84889688104&partnerID=8YFLogxK
U2 - 10.1016/j.sysconle.2013.11.004
DO - 10.1016/j.sysconle.2013.11.004
M3 - Article
AN - SCOPUS:84889688104
SN - 0167-6911
VL - 63
SP - 43
EP - 49
JO - Systems and Control Letters
JF - Systems and Control Letters
IS - 1
ER -