A Finite-Dimensional Risk-Sensitive Control Problem
From MaRDI portal
Publication:4862439
DOI10.1137/S0363012993255879zbMath0841.93081OpenAlexW1983156134MaRDI QIDQ4862439
Robert J. Elliott, Alain Bensoussan
Publication date: 8 February 1996
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012993255879
separation principleZakai equationquadraticpartially observed stochastic controlfinite-dimensional dynamicsrisk sensitiveexponential running cost
Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20)
Related Items (10)
Finite-dimensional solutions of a modified Zakai equation ⋮ Risk-sensitive and risk-neutral control for continuous-time hidden Markov models ⋮ Robust adaptive control for linear systems with unknown parameters ⋮ On the global convergence of relative value iteration for infinite-horizon risk-sensitive control of diffusions ⋮ Risk sensitive nonlinear filtering with correlated noises ⋮ Finite- dimensional optimal controllers for nonlinear plants ⋮ Finite-dimensional quasi-linear risk-sensitive control ⋮ Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions ⋮ Infinite Horizon Average Cost Dynamic Programming Subject to Total Variation Distance Ambiguity ⋮ Dynamic Programming Subject to Total Variation Distance Ambiguity
This page was built for publication: A Finite-Dimensional Risk-Sensitive Control Problem
