Optimal stochastic regulators with state-dependent weights

DOI10.1016/J.SYSCONLE.2019.104522zbMath1428.93131OpenAlexW2976768318WikidataQ127219020 ScholiaQ127219020MaRDI QIDQ2278529

Bujar Gashi

Publication date: 5 December 2019

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2019.104522

zbMATH Keywords

risk-sensitive controloptimal investmentstochastic regulators

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Feedback control (93B52) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (4)

Optimal regulators for a class of nonlinear stochastic systems ⋮ Optimal regulator for a class of nonlinear stochastic systems with random coefficients ⋮ Indefinite risk-sensitive control ⋮ Robust risk‐sensitive control

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