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Explicit Solution to a Certain Non-ELQG Risk-sensitive Stochastic Control Problem
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1998Brownian Motion and Stochastic Calculus2,043 cited
  • 1999Risk-Sensitive Dynamic Asset Management290 cited
  • 2000Risk‐Sensitive Control and an Optimal Investment Model163 cited
  • 2002Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon115 cited
  • 2002Risk-sensitive control and an optimal investment model II112 cited
  • 1999Optimal long term growth rate of expected utility of wealth102 cited
  • 2005Portfolio selection under incomplete information100 cited
  • 2002Risk-sensitive portfolio optimization on infinite time horizon95 cited
  • 2003Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models91 cited
  • 1981On the optimal control of stochastic systems with an exponential-of-integral performance index78 cited
  • 2003A large deviations approach to optimal long term investment76 cited
  • 2008Risk-sensitive benchmarked asset management75 cited
  • 2006On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control64 cited
  • 1998Some Results on Risk-Sensitive Control with Full Observation

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51 cited
  • 2010Asymptotics of the probability minimizing a “down-side” risk42 cited
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