Asymptotic analysis of nonlinear stochastic risk-sensitive control and differential games
From MaRDI portal
Publication:1198562
DOI10.1007/BF02134013zbMath0761.93076OpenAlexW2106292461MaRDI QIDQ1198562
Publication date: 16 January 1993
Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02134013
Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Adaptive control/observation systems (93C40) Optimal stochastic control (93E20) Pursuit and evasion games (49N75)
Related Items (25)
Optimal control of a stochastic system with an exponential-of-integral performance criterion ⋮ Risk sensitive control of Markov processes in countable state space ⋮ Connections between stochastic control and dynamic games ⋮ The risk-sensitive index and the \(H_ 2\) and \(H_ \infty\) norms for nonlinear systems ⋮ Risk-sensitive and risk-neutral control for continuous-time hidden Markov models ⋮ Small noise methods for risk-sensitive/robust economies ⋮ Dissipativity and risk-sensitivity in control problems ⋮ H∞control for non-linear stochastic systems: the output-feedback case ⋮ Finite-dimensional quasi-linear risk-sensitive control ⋮ Differential games, partial-state stabilization, and model reference adaptive control ⋮ Risk-sensitive nonzero-sum stochastic differential game with unbounded coefficients ⋮ Robustness and ambiguity in continuous time ⋮ Robust control and model misspecification ⋮ Optimal control of molecular dynamics using Markov state models ⋮ Macroeconomic uncertainty prices when beliefs are tenuous ⋮ \(H_{\infty}\)-like control for nonlinear stochastic systems ⋮ Large deviation limit for discrete-time, totally observed stochastic control problems with multiplicative cost ⋮ Twisted probabilities, uncertainty, and prices ⋮ Variational approach to rare event simulation using least-squares regression ⋮ A uniqueness result for the Isaacs equation corresponding to nonlinear \(H_\infty\) control ⋮ Structured ambiguity and model misspecification ⋮ Risk-sensitivity conditions for stochastic uncertain model validation ⋮ Risk-sensitive control for a class of diffusions with jumps ⋮ Maximum Principle for Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance ⋮ Multiple-objective risk-sensitive control and its small noise limit
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Asymptotic expansions for Markov processes with Lévy generators
- A PDE approach to some asymptotic problems concerning random differential equations with small noise intensities
- State-space formulae for all stabilizing controllers that satisfy an \(H_{\infty}\)-norm bound and relations to risk sensitivity
- On a state space approach to nonlinear \(H_ \infty\) control
- Asymptotic series and exit time probabilities
- A risk-sensitive maximum principle
- Some Properties of Viscosity Solutions of Hamilton-Jacobi Equations
- State-space solutions to standard H/sub 2/ and H/sub infinity / control problems
- Stochastic Control and Exit Probabilities of Jump Processes
- Discontinuous solutions of deterministic optimal stopping time problems
- Risk-sensitive linear/quadratic/gaussian control
- A Game Theoretic Approach to $\mathcal{H}^\infty $ Control for Time-Varying Systems
- Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
- Stochastic Control for Small Noise Intensities
This page was built for publication: Asymptotic analysis of nonlinear stochastic risk-sensitive control and differential games