A new approach to risk sensitivity

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DOI10.1093/IMAMCI/DNV054zbMath1397.93233OpenAlexW2337832787MaRDI QIDQ4684044

Jack Baczynski

Publication date: 27 September 2018

Published in: IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imamci/dnv054

zbMATH Keywords

dynamic games utility function convex analysis stochastic control problems risk sensitivity LEQG

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20) Dynamic games (91A25)

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