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

TL;DR

This paper investigates the stability of receding horizon control applied to continuous-time nonlinear stochastic systems, demonstrating its effectiveness through a simulation example involving investment and debt repayment.

Contribution

It provides new stability analysis results for receding horizon control in continuous-time stochastic systems, supported by a practical simulation example.

Findings

Receding horizon control can stabilize nonlinear stochastic systems.

Simulation confirms the effectiveness of the control strategy.

The approach applies to financial investment scenarios.

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.