A new risk-sensitive maximum principle

Cited in

(36)

Pontryagin's risk-sensitive stochastic maximum principle for backward stochastic differential equations with application
An optimal control of a risk-sensitive problem for backward doubly stochastic differential equations with applications
The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations
Optimal stochastic regulators with state-dependent weights
Risk-sensitive mean field games via the stochastic maximum principle
Generalised risk-sensitive control with full and partial state observation
Risk-sensitive control for a class of nonlinear systems with multiplicative noise
Indefinite risk-sensitive control
Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system
A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications
A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type
On the singular risk-sensitive stochastic maximum principle
Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations
Partially observed risk-sensitive stochastic control problems with non-convexity restriction
Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems
G-stochastic maximum principle for risk-sensitive control problem and its applications
Robust risk‐sensitive control
Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls
A risk-sensitive stochastic maximum principle for fully coupled forward-backward stochastic differential equations with applications
Risk-sensitive large-population linear-quadratic-Gaussian games with major and minor agents
Data-driven direct adaptive risk-sensitive control of stochastic systems
Partially observed mean-field game and related mean-field forward-backward stochastic differential equation
A second-order necessary condition for risk-sensitive mean-field type control
Maximum principle for partially observed risk-sensitive optimal control problem of McKean-Vlasov FBSDEs involving impulse controls
Weighted stochastic Riccati equations for generalization of linear optimal control
Global maximum principle for partially observed risk-sensitive progressive optimal control of fbsde with Poisson jumps
Optimal regulators for mean-field stochastic system with state-dependent weight costs
Differential games, continuous Lyapunov functions, and stabilisation of non-linear dynamical systems
LQG risk-sensitive single-agent and major-minor mean-field game systems: a variational framework
Risk-sensitive singular control for stochastic recursive systems and Hamilton-Jacobi-Bellman inequality
A risk-sensitive global maximum principle for controlled fully coupled FBSDEs with applications
A maximum principle for robust optimal control problems of quadratic BSDEs
On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application
Risk-sensitive mean-field-type games with L^p-norm drifts

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