Risk-sensitive and risk-neutral control for continuous-time hidden Markov models

DOI10.1007/BF01182472zbMath0853.93104OpenAlexW1966436575MaRDI QIDQ1917179

Robert J. Elliott, Matthew R. James

Publication date: 17 December 1996

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

Full work available at URL: https://doi.org/10.1007/bf01182472

zbMATH Keywords

optimal controldynamic programmingviscosity solution

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items

The mean squared loss control problem for a partially observed Markov chain

Cites Work

• Asymptotic analysis of nonlinear stochastic risk-sensitive control and differential games
• Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
• Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index
• Risk-sensitive linear/quadratic/gaussian control
• User’s guide to viscosity solutions of second order partial differential equations
• Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems
• Robust H/sub ∞/ output feedback control for nonlinear systems
• A Finite-Dimensional Risk-Sensitive Control Problem
• Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
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