Robust risk‐sensitive control (Q6193183)

scientific article; zbMATH DE number 7804061

Language	Label	Description	Also known as
English	Robust risk‐sensitive control	scientific article; zbMATH DE number 7804061

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instance of

scholarly article

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title

Robust risk‐sensitive control (English)

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International Journal of Robust and Nonlinear Control

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publication date

13 February 2024

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zbMATH Keywords

risk-sensitive control

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robust portfolio control

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stochastic mixed $H_2/H_\infty$ control

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1002/rnc.6655

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cites work

A Nash game approach to mixed H/sub 2//H/sub ∞/ control

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Stochastic&gt;tex&lt;$H_2/H_infty $&gt;/tex&lt;Control WithState-Dependent Noise

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A game theory approach to mixed control for a class of stochastic time-varying systems with randomly occurring nonlinearities

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Nonlinear Stochastic $H_2/H_\infty$ Control with $(x,u,v)$-Dependent Noise: Infinite Horizon Case

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Stochastic $H_{2}/H_{\infty }$ control with $(x,u,v)$-dependent noise: finite horizon case

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Infinite horizon $H_2/H_\infty$ control for stochastic systems with Markovian jumps

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Relationship Between Nash Equilibrium Strategies and <inline-formula> <tex-math notation="TeX">$H_{2}/H_{\infty}$</tex-math></inline-formula> Control of Stochastic Markov Jump Systems With Multiplicative Noise

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Voltage control for uncertain stochastic nonlinear system with application to energy Internet: non-fragile robust $H_{\infty}$ approach

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Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games

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Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index

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On the application of minimum principle for solving partially observable risk-sensitive control problems

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Model Simplification and Optimal Control of Stochastic Singularly Perturbed Systems under Exponentiated Quadratic Cost

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Risk-sensitive linear/quadratic/gaussian control

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Q3997540

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State-space formulae for all stabilizing controllers that satisfy an $H_{\infty}$-norm bound and relations to risk sensitivity

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Robust output feedback stabilization via risk-sensitive control

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Robust properties of risk-sensitive control

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A new risk-sensitive maximum principle

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A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications

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The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations

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Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems

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Generalized Risk-Sensitive Optimal Control and Hamilton–Jacobi–Bellman Equation

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Linear Exponential Quadratic Stochastic Differential Games

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Risk-sensitive nonzero-sum stochastic differential game with unbounded coefficients

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Necessary and sufficient conditions of risk‐sensitive optimal control and differential games for stochastic differential delayed equations

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Risk-Sensitive Zero-Sum Differential Games

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Risk-Sensitive Mean-Field Games

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Risk-sensitive control for a class of nonlinear systems with multiplicative noise

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Generalised risk-sensitive control with full and partial state observation

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Optimal stochastic regulators with state-dependent weights

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Indefinite risk-sensitive control

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Risk-sensitive control and an optimal investment model. II.

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Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation

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Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model

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Risk‐sensitive benchmarked asset management with expert forecasts

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OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND

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Integrability of exponential process and its application to backward stochastic differential equations

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Optimal regulators for a class of nonlinear stochastic systems

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Identifiers

Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6193183