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A Finite-Dimensional Risk-Sensitive Control Problem
3 references·3 citing·21 second hop
A Finite-Dimensional Risk-Sensitive Control Problem (1995)A Finite-Dimensional Risk-Sensitive Contr…Risk sensitive optimal control and differential games (2007)Risk sensitive optimal contro…STOCHASTIC CALCULUS AND APPLICATIONS (1983)STOCHASTIC CALCULUS AND APPLI…On the optimal control of stochastic systems with an exponential-of-integral performance index (1981)On the optimal control of sto…Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions (2017)Infinite horizon risk-sensiti…Dynamic Programming Subject to Total Variation Distance Ambiguity (2015)Dynamic Programming Subject t…Solvable risk-sensitive control problems with output feedback (2002)Solvable risk-sensitive contr…A risk-sensitive maximum principle (1990)Connections between stochastic control and dynamic games (1996)Optimal Investment Models and Risk Sensitive Stochastic Control (1995)Nash Equilibria of Risk-Sensitive Nonlinear Stochastic Differential Games (1999)Controlled Markov Processes and Viscosity Solutions (2005)Risk sensitive stochastic control and differential games (2006)A minimum principle for stochastic control problems with output feedback (1981)Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions (1983)On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)Existence of Optimal Stochastic Control Laws (1971)On Nash equilibrium solutions in stochastic dynamic games (1980)Un Cours sur les Intégrales Stochastiques (2002)Risk-sensitive control for a class of nonlinear systems with multiplicative noise (2013)Linear Exponential Quadratic Stochastic Differential Games (2015)Controlled Diffusion Processes (1980)Statistics of Random Processes (2001)Strong solutions of stochastic equations with singular time dependent drift (2004)Zero-Sum Stochastic Differential Games with Risk-Sensitive Cost (2018)Pricing foreign currency options under stochastic interest rates (1991)Backward stochastic differential equations with jumps and related non-linear expectations (2006)Robust control and model misspecification (2006)
this work references cited by second hop

References

  • 1983STOCHASTIC CALCULUS AND APPLICATIONS480 cited
  • 2007Risk sensitive optimal control and differential games115 cited
  • 1981On the optimal control of stochastic systems with an exponential-of-integral performance index78 cited

Cited by

  • 2017Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions28 cited
  • 2015Dynamic Programming Subject to Total Variation Distance Ambiguity25 cited
  • 2002Solvable risk-sensitive control problems with output feedback21 cited

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