Investment, confidence, and linear-exponential-Gaussian control

DOI10.1016/0165-1889(93)90015-KzbMath0784.90016OpenAlexW2052774976MaRDI QIDQ690168

Jeffrey H. Dorfman

Publication date: 20 December 1993

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(93)90015-k

zbMATH Keywords

approximate boundsconfidence on investment

Mathematics Subject Classification ID

Discrete-time games (91A50) Application models in control theory (93C95) Economic growth models (91B62) Linear-quadratic optimal control problems (49N10)

Cites Work

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• On alternative methods of generating risk sensitive decision rules
• Investment Under Uncertainty
• Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games

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