Article1995

A Finite-Dimensional Risk-Sensitive Control Problem

38 citations0/0 files storedSIAM Journal on Control and Optimization

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Stability and Control of Uncertain Systems Stability and Controllability of Differential Equations

Abstract

A partially observed stochastic control problem with exponential running cost is considered. The dynamics are linear and the running cost is quadratic, although the control may enter nonlinearly. Explicit solutions are found to a modified Zakai equation and a backward adjointequation. This enables the problem to be expressed in terms of observable finite-dimensional dynamics and a separation principle to be applied.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 38 citations exist upstream.

References

1983STOCHASTIC CALCULUS AND APPLICATIONS 2007Risk sensitive optimal control and differential games 1981On the optimal control of stochastic systems with an exponential-of-integral performance index

Cited by

2017Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions 2015Dynamic Programming Subject to Total Variation Distance Ambiguity

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.