Article ID Journal Published Year Pages File Type
752218 Systems & Control Letters 2014 7 Pages PDF
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.

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Physical Sciences and Engineering Engineering Control and Systems Engineering
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On the stability of receding horizon control for continuous-time stochastic systems
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