| Article ID: | iaor20116053 |
| Volume: | 72 |
| Issue: | 5 |
| Start Page Number: | 989 |
| End Page Number: | 1003 |
| Publication Date: | May 2011 |
| Journal: | Automation and Remote Control |
| Authors: | Dombrovskii V, Obedko Yu |
| Keywords: | markov processes, time series & forecasting methods, simulation: applications, control |
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.