Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem

DOI10.1007/S00245-010-9106-9MaRDI QIDQ607784zbMATH OpenOpenAlexFDO

Authors Hiroaki Hata, Jun Sekine

Publication date 3 December 2010

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-010-9106-9

zbMATH Keywords

Riccati differential equationrisk-sensitive stochastic controllarge deviations controllong-term optimal investmentnonlinear factorBeně's filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Optimal stochastic control (93E20)

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Cited in

(11)

• Risk-sensitive control for a class of diffusions with jumps
• Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
• Downside risk minimization via a large deviations approach
• Risk-sensitive large-population linear-quadratic-Gaussian games with major and minor agents
• Optimal investment-consumption-insurance with partial information
• Risk-sensitive portfolio optimization problem for a large trader with inside information
• Risk-sensitive asset management in a general diffusion factor model: risk-seeking case
• Risk-sensitive asset management with lognormal interest rates
• Robust risk‐sensitive control
• Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls
• ``Down-side risk probability minimization problem with Cox-Ingersoll-Ross's interest rates

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