Risk-sensitive control with HARA utility

DOI10.1109/9.917658zbMath1030.93055OpenAlexW2118695950WikidataQ56953200 ScholiaQ56953200MaRDI QIDQ4540352

Andrew E. B. Lim, Xun Yu Zhou

Publication date: 21 July 2002

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/9dabeee9078a2f5cff5678ec7923a6e405928857

zbMATH Keywords

viscosity solutiondifferential gamerisk-sensitive controllinear-quadratic controlrobust controllersupper/lower Isaacs equationsHARA controllershyperbolic absolute risk averse utility function

Mathematics Subject Classification ID

Differential games and control (49N70) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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