SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Risk sensitive optimal control and differential games
1 references·6 citing·29 second hop
Risk sensitive optimal control and differential games (2007)Risk sensitive optimal control and differ…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Risk sensitive stochastic control and differential games (2006)Risk sensitive stochastic con…Risk-Sensitive Dynamic Asset Management with Partial Information (2001)Risk-Sensitive Dynamic Asset …Nash Equilibria of Risk-Sensitive Nonlinear Stochastic Differential Games (1999)Nash Equilibria of Risk-Sensi…Risk-Sensitive Production Planning of Stochastic Manufacturing Systems: A Singular Perturbation Approach (1995)Risk-Sensitive Production Pla…Optimal Investment Models and Risk Sensitive Stochastic Control (1995)Optimal Investment Models and…A Finite-Dimensional Risk-Sensitive Control Problem (1995)A Finite-Dimensional Risk-Sen…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Explicit Solution of a General Consumption/Investment Problem (1986)Risk-Sensitive Control on an Infinite Time Horizon (1995)Recent developments in international finance: A guide to research (1997)Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model (2011)Dynamic Noncooperative Game Theory (1982)Dynamic Noncooperative Game Theory, 2nd Edition (1998)Robust Mean Field Games with Application to Production of an Exhaustible Resource (2012)Stationary Markov perfect equilibria in risk sensitive stochastic overlapping generations models (2014)Risk-Sensitive Zero-Sum Differential Games (2018)On the optimal control of stochastic systems with an exponential-of-integral performance index (1981)STOCHASTIC CALCULUS AND APPLICATIONS (1983)Dynamic Programming Subject to Total Variation Distance Ambiguity (2015)Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions (2017)Stochastic Differential Equations (2006)Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance (2012)Numerical solution of stochastic differential equations (2016)Hierarchical controls in stochastic manufacturing systems with machines in tandem (1992)Controlled markov processes and viscosity solutions (1994)Hierarchical Production Control in a Stochastic N-Machine Flowshop with Limited Buffers (2000)Risk-Sensitive Dynamic Asset Management (1999)Stochastic Analysis, Control, Optimization and Applications (1999)DOWNSIDE RISK MINIMIZATION VIA A LARGE DEVIATIONS APPROACH1 (2016)An optimal consumption and investment problem with partial information (2018)
this work references cited by second hop

References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited

Cited by

  • 1999Nash Equilibria of Risk-Sensitive Nonlinear Stochastic Differential Games67 cited
  • 1995Optimal Investment Models and Risk Sensitive Stochastic Control39 cited
  • 1995A Finite-Dimensional Risk-Sensitive Control Problem38 cited
  • 2006Risk sensitive stochastic control and differential games37 cited
  • 1995Risk-Sensitive Production Planning of Stochastic Manufacturing Systems: A Singular Perturbation Approach32 cited
  • 2001Risk-Sensitive Dynamic Asset Management with Partial Information28 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work