Finite-dimensional quasi-linear risk-sensitive control

DOI10.1016/0167-6911(94)00073-5zbMath0877.93138OpenAlexW2085947017MaRDI QIDQ673558

Lakhdar Aggoun, Robert J. Elliott, John B. Moore, Alain Bensoussan

Publication date: 28 February 1997

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

Full work available at URL: https://doi.org/10.1016/0167-6911(94)00073-5

zbMATH Keywords

separation principleFinite-dimensional information statesRisk-sensitive partially observed stochastic control

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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Cites Work

• Asymptotic analysis of nonlinear stochastic risk-sensitive control and differential games
• A risk-sensitive maximum principle
• Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index
• Risk-sensitive linear/quadratic/gaussian control
• A Finite-Dimensional Risk-Sensitive Control Problem
• Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
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