Some results and problems in risk sensitive stochastic control

zbMath0891.93086MaRDI QIDQ1375890

Wendell H. Fleming

Publication date: 21 January 1998

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

surveydifferential gamesoptimal stochastic controlpartial state informationcontrolled Markov processesrisk sensitive cost

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (2)

Spectral theory and limit theorems for geometrically ergodic Markov processes ⋮ Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions

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