Artur A. Mitsel, Elena V. Viktorenko, “Dynamic model of BSF portfolio management”, Rossijskij tehnologičeskij žurnal, 13:2 (2025), 93
de Melo M.K., Cardoso R.T.N., Jesus T.A., “Multiobjective Dynamic Optimization of Investment Portfolio Based on Model Predictive Control”, SIAM J. Control Optim., 60:1 (2022), 104–123
Vadim Azhmyakov, Ilya Shirokov, Luz Adriana Guzman Trujillo, “Application of a Switched PIDD Type Control Strategy to the Model-Free Algorithmic Trading”, IFAC-PapersOnLine, 55:40 (2022), 145
de Melo M.K., Cardoso R.T.N., Jesus T.A., “A Genetic Algorithm For Investment Tracking With Stochastic Model Predictive Control”, 2021 IEEE Congress on Evolutionary Computation (Cec 2021), IEEE Congress on Evolutionary Computation, IEEE, 2021, 1543–1550
Dombrovskii V.V., Pashinskaya T.Yu., “Model Predictive Control For Discrete-Time Systems With Serially Correlated Parameters and Multiplicative and Additive Noises Under Constraints”, Int. J. Geotech. Earthq., 2019, no. 47, 4–11
Plessen M.G., Puglia L., Gabbriellini T., Bemporad A., “Dynamic Option Hedging With Transaction Costs: a Stochastic Model Predictive Control Approach”, Int. J. Robust Nonlinear Control, 29:15, SI (2019), 5058–5077
James A. Primbs, Control Engineering, Handbook of Model Predictive Control, 2019, 665
Li J., Li D., Xi Yu., Xu Yu., Gan Zh., “Output-Feedback Model Predictive Control For Stochastic Systems With Multiplicative and Additive Uncertainty”, Int. J. Robust Nonlinear Control, 28:1 (2018), 86–102
Primbs J.A. Yamada Yu., “Pairs Trading Under Transaction Costs Using Model Predictive Control”, Quant. Financ., 18:6 (2018), 885–895
Malekpour Sh., Primbs J.A., Barmish B.R., “A Generalization of Simultaneous Long-Short Stock Trading to Pi Controllers”, IEEE Trans. Autom. Control, 63:10 (2018), 3531–3536
Pathompong Jaiwat, 2018 22nd International Computer Science and Engineering Conference (ICSEC), 2018, 1
Yuji Yamada, James A. Primbs, “Model Predictive Control for Optimal Pairs Trading Portfolio with Gross Exposure and Transaction Cost Constraints”, Asia-Pac Financ Markets, 25:1 (2018), 1
Li J., Li D., Xi Yu., “H-Infinity Predictive Control With Probability Constraints For Linear Stochastic Systems”, IET Contr. Theory Appl., 11:4 (2017), 557–566
М. М. Хрусталев, Д. С. Румянцев, К. А. Царьков, “Оптимизация квазилинейных стохастических систем диффузионного типа, нелинейных по управлению”, Автомат. и телемех., 2017, № 6, 84–105; M. M. Khrustalev, D. S. Rumyantsev, K. A. Tsar'kov, “Optimization of quasilinear stochastic control-nonlinear diffusion systems”, Autom. Remote Control, 78:6 (2017), 1028–1045
Dombrovskii V. Obedko T., “Feedback Predictive Control Strategies For Investment in the Financial Market With Serially Correlated Returns Subject to Constraints and Trading Costs”, Optim. Control Appl. Methods, 38:6 (2017), 908–921
Vladimir D.V. Tatiana O.Y. Mariya V S., “The Closed-Loop Optimal Feedback Model Predictive Control Policy For Systems With Stochastic Correlated Parameters”, Int. J. Geotech. Earthq., 2017, no. 39, 11–16
Yang Y., Nesbitt N.D., “Concise Iterative Algorithms on the State Feedback Form For Model Predictive Control and Stability Analysis of Regime Switching Systems”, 2017 IEEE Symposium Series on Computational Intelligence (Ssci), IEEE, 2017
Villasanti H.G., Passino K.M., “Feedback Controllers as Financial Advisors For Low-Income Individuals”, IEEE Trans. Control Syst. Technol., 25:6 (2017), 2194–2201
Yipeng Yang, Neal D. Nesbitt, 2017 IEEE Symposium Series on Computational Intelligence (SSCI), 2017, 1
Barmish B.R. Primbs J.A., “on a New Paradigm For Stock Trading Via a Model-Free Feedback Controller”, IEEE Trans. Autom. Control, 61:3 (2016), 662–676
Tonne J. Stursberg O., “Constrained Model Predictive Control of Processes With Uncertain Structure Modeled By Jump Markov Linear Systems”, Variable-Structure Approaches: Analysis, Simulation, Robust Control and Estimation of Uncertain Dynamic Processes, Mathematical Engineering, ed. Rauh A. Senkel L., Springer-Verlag Berlin, 2016, 335–361
Malekpour Sh., Barmish B.R., “On Stock Trading Using a Controller With Delay: the Robust Positive Expectation Property”, 2016 IEEE 55Th Conference on Decision and Control (Cdc), IEEE Conference on Decision and Control, IEEE, 2016, 2881–2887
Smagin V.I., Koshkin G.M., Kim K.S., “Control Strategies For Discrete Delayed Systems With Unknown Input Using Nonparametric Algorithms”, 2016 International Conference on Information and Digital Technologies (Idt), IEEE, 2016, 133–137
Shirzad Malekpour, B. Ross Barmish, 2016 IEEE 55th Conference on Decision and Control (CDC), 2016, 2881
Valery I. Smagin, Gennady M. Koshkin, Konstantin S. Kim, 2016 Second International Symposium on Stochastic Models in Reliability Engineering, Life Science and Operations Management (SMRLO), 2016, 570
Dombrovskii V. Obyedko T., “Model Predictive Control For Constrained Systems With Serially Correlated Stochastic Parameters and Portfolio Optimization”, Automatica, 54 (2015), 325–331
Tonne J. Jilg M. Stursberg O., “Constrained Model Predictive Control of High Dimensional Jump Markov Linear Systems”, 2015 American Control Conference (Acc), Proceedings of the American Control Conference, IEEE, 2015, 2993–2998
Vladimir Dombrovskii, Tatyana Obedko, 2015 European Control Conference (ECC), 2015, 3371
Costa O.L.V., Gonzaga C.A.C., “Quadratic and H-Infinity Switching Control For Discrete-Time Linear Systems With Multiplicative Noises”, Int. J. Control, 87:11 (2014), 2312–2326
Vladimir Dombrovskii, Tatyana Obedko, “Portfolio Optimization in the Financial Market with Regime Switching Under Constraints, Transaction Costs and Different Rates for Borrowing and Lending”, SSRN Journal, 2014
B. Ross Barmish, James A. Primbs, Shirzad Malekpour, Sean Warnick, 52nd IEEE Conference on Decision and Control, 2013, 7181
Shirzad Malekpour, James A. Primbs, B. Ross Barmish, 52nd IEEE Conference on Decision and Control, 2013, 1210
Sun H., Jiang L., Zhang W., “Feedback Control on Nash Equilibrium for Discrete-Time Stochastic Systems with Markovian Jumps: Finite-Horizon Case”, Int. J. Control Autom. Syst., 10:5 (2012), 940–946
Barmish B.R. Primbs J.A., “On Market-Neutral Stock Trading Arbitrage via Linear Feedback”, 2012 American Control Conference (Acc), Proceedings of the American Control Conference, IEEE Computer Soc, 2012, 3693–3698
Домбровский В.В., Объедко Т.Ю., “Portfolio optimization in the financial market with serially dependent returns under constraints”, Вестник томского государственного университета. управление, вычислительная техника и информатика, 2012, № 2, 5–13
Shirzad Malekpour, B. Ross Barmish, 2012 IEEE 51st IEEE Conference on Decision and Control (CDC), 2012, 2110
В. В. Домбровский, Т. Ю. Объедко, “Управление с прогнозированием cистемами с марковскими скачками при ограничениях и применение к оптимизации инвестиционного портфеля”, Автомат. и телемех., 2011, № 5, 96–112; V. V. Dombrovskii, T. Yu. Ob"edko, “Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization”, Autom. Remote Control, 72:5 (2011), 989–1003
Primbs J.A., Barmish B.R., “ACC 2011 Tutorial Session: An Introduction to Option Trading from a Control Perspective”, 2011 American Control Conference, Proceedings of the American Control Conference, 2011
Домбровский В.В., Объедко Т.Ю., “Управление дискретными динамическими системами со случайными зависимыми параметрами при ограничениях”, Вестник Томского государственного университета. Управление, вычислительная техника и информатика, 2011, № 3, 5–12
Barmish B.R., Primbs J.A., “On Arbitrage Possibilities via Linear Feedback in an Idealized Brownian Motion Stock Market”, 50th IEEE Conference on Decision and Control and European Control Conference (CDC-Ecc), IEEE, 2011, 2889–2894
Sun Huiying, Jiang Liuyang, “Linear-Quadratic Differential Games for Discrete-Time Stochastic Systems with Markov Jumps and Multiplicative Noise”, 2011 30th Chinese Control Conference, IEEE, 2011, 2040–2043
James A. Primbs, B. Ross Barmish, Proceedings of the 2011 American Control Conference, 2011, 1726
Costa O.L.V., Benites G. R. A. M., “Linear Minimum Mean Square Filter For Discrete-Time Linear Systems with Multiplicative Noise”, 49th IEEE Conference on Decision and Control (CDC), 2010, 7706–7711
do Valle Costa O.L., de Paulo W.L., “Generalized Coupled Algebraic Riccati Equations for Discrete-time Markov Jump with Multiplicative Noise Systems”, European Journal of Control, 14:5 (2008), 391–408
Costa O.L.V., de Paulo W.L., “Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems”, Automatica, 43:4 (2007), 587–597
В. В. Домбровский, Д. В. Домбровский, Е. А. Ляшенко, “Управление с прогнозирующей моделью системами со случайными зависимыми параметрами при ограничениях и применение к оптимизации инвестиционного портфеля”, Автомат. и телемех., 2006, № 12, 71–85; V. V. Dombrovskii, D. V. Dombrovskii, E. A. Lyashenko, “Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization”, Autom. Remote Control, 67:12 (2006), 1927–1939
; M. M. Khrustalev, D. S. Rumyantsev, K. A. Tsar'kov, “Optimization of quasilinear stochastic control-nonlinear diffusion systems”, Autom. Remote Control, 78:6 (2017),