On the optimal control of stochastic systems with an exponential-of- integral performance index

DOI10.1016/0022-247X(81)90109-8zbMath0461.93061MaRDI QIDQ1153117

P. R. Kumar, Jan H. van Schuppen

Publication date: 1981

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (11)

Applicable stochastic control: From theory to practice ⋮ Risk-sensitivity, large deviations and stochastic control ⋮ A hamiltonian formulation of risk-sensitive Linear/quadratic/gaussian control ⋮ Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem ⋮ Indefinite risk-sensitive control ⋮ Generalised risk-sensitive control with full and partial state observation ⋮ Risk-sensitive control for a class of nonlinear systems with multiplicative noise ⋮ Partially observed multi-player stochastic differential games under directed graphs ⋮ Dynamic Programming Subject to Total Variation Distance Ambiguity ⋮ Risk sensitive identification of linear stochastic systems ⋮ A variational representation for certain functionals of Brownian motion

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