A risk-sensitive maximum principle

DOI10.1016/0167-6911(90)90110-GzbMath0724.93084OpenAlexW2084456077MaRDI QIDQ2277229

Peter Whittle

Publication date: 1990

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(90)90110-g

zbMATH Keywords

Hamilton-Jacobi equationsstochastic maximum principlerisk-sensitivityadditive cost function

Mathematics Subject Classification ID

Sensitivity, stability, well-posedness (49K40) Optimal stochastic control (93E20)

Related Items (17)

Risk-sensitivity, large deviations and stochastic control ⋮ Continuous-time zero-sum games for Markov decision processes with discounted risk-sensitive cost criterion ⋮ The risk-sensitive index and the \(H_ 2\) and \(H_ \infty\) norms for nonlinear systems ⋮ A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators ⋮ Minimax games for stochastic systems subject to relative entropy uncertainty: applications to SDEs on Hilbert spaces ⋮ Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations ⋮ Dissipativity and risk-sensitivity in control problems ⋮ Variational and optimal control representations of conditioned and driven processes ⋮ Finite-dimensional quasi-linear risk-sensitive control ⋮ Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type ⋮ Asymptotic analysis of nonlinear stochastic risk-sensitive control and differential games ⋮ On the singular risk-sensitive stochastic maximum principle ⋮ Large deviation limit for discrete-time, totally observed stochastic control problems with multiplicative cost ⋮ Control of the multiclass \(\mathrm{G}/\mathrm{G}/1\) queue in the moderate deviation regime ⋮ A uniqueness result for the Isaacs equation corresponding to nonlinear \(H_\infty\) control ⋮ Risk-sensitive control for a class of diffusions with jumps ⋮ Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance

Cites Work

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