A risk-sensitive control dual approach to a large deviations control problem

DOI10.1016/S0167-6911(03)00100-2zbMath1157.60308OpenAlexW1964223327MaRDI QIDQ2503513

Huyên Pham

Publication date: 21 September 2006

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

Full work available at URL: https://doi.org/10.1016/s0167-6911(03)00100-2

zbMATH Keywords

Bellman equationDualityLarge deviationsRisk-sensitive controlControlled diffusion

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Large deviations (60F10)

Related Items (13)

Portfolio management under drawdown constraint in discrete-time financial markets ⋮ A risk-sensitive stochastic control approach to an optimal investment problem with partial information ⋮ Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem ⋮ Downside risk minimization via a large deviations approach ⋮ Markov decision processes under risk sensitivity: a discount vanishing approach ⋮ Duality between large deviation control and risk-sensitive control for Markov decision processes ⋮ Asymptotics of robust utility maximization ⋮ Risk-sensitivity vanishing limit for controlled Markov processes ⋮ A note on long-term optimal portfolios under drawdown constraints ⋮ Asymptotics of the probability of minimizing ‘down-side’ risk under partial information ⋮ Long-term optimal portfolios with floor ⋮ Asymptotics of the probability minimizing a ``down-side risk ⋮ ON PORTFOLIO CHOICE BY MAXIMIZING THE OUTPERFORMANCE PROBABILITY

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• Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon

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