A hamiltonian formulation of risk-sensitive Linear/quadratic/gaussian control
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Publication:3743240
DOI10.1080/00207178608933445zbMath0604.93069OpenAlexW2000585268WikidataQ126245605 ScholiaQ126245605MaRDI QIDQ3743240
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Publication date: 1986
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207178608933445
Applications of statistics to economics (62P20) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Optimal stochastic control (93E20)
Related Items (7)
Risk-sensitivity, large deviations and stochastic control ⋮ Stochastic bargaining models ⋮ A risk-sensitive maximum principle ⋮ In between the \(LQG/H_2\)- and \(H_{\infty } \)-control theories ⋮ State-space formulae for all the stabilizing discrete controllers that satisfy anH∞norm bound Part 1. Main results and the full information problem ⋮ Entropy-minimising and risk-sensitive control rules ⋮ Nash equilibria of risk-sensitive nonlinear stochastic differential games
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