On the Stability of Receding Horizon Control for Continuous-Time Stochastic Systems

Published 19 Aug 2012 in math.OC and cs.SY | (1208.3830v1)

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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