Risk sensitive control of discrete time partially observed Markov Processes with Infinite Horizon

DOI10.1080/17442509908834216zbMath0942.93047OpenAlexW1984639508MaRDI QIDQ4719390

Giovanni B. Di Masi, Łukasz Stettner

Publication date: 21 August 2000

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509908834216

zbMATH Keywords

Bellman equationscontrolled Markov processergodic cost functionalpartially observed discrete-time risk sensitive controlrisk sensitive cost functional

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Control/observation systems with incomplete information (93C41) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

Related Items (9)

Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach ⋮ Markov perfect equilibria in OLG models with risk sensitive agents ⋮ Risk-sensitivity vanishing limit for controlled Markov processes ⋮ Ergodicity of filtering process by vanishing discount approach ⋮ Portfolio optimization in stochastic markets ⋮ Local Poisson equations associated with the Varadhan functional ⋮ Portfolio selection in stochastic markets with exponential utility functions ⋮ Portfolio selection in stochastic markets with HARA utility functions ⋮ Long Run Control with Degenerate Observation

Cites Work

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• Risk sensitive control of Markov processes in countable state space
• Ergodic control of partially observed Markov processes with equivalent transition probabilities
• Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems
• Risk-Sensitive Control of Finite State Machines on an Infinite Horizon I

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