Indefinite risk-sensitive control (Q2681175)

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Language	Label	Description	Also known as
English	Indefinite risk-sensitive control	scientific article

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scholarly article

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Indefinite risk-sensitive control (English)

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European Journal of Control

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publication date

7 February 2023

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zbMATH Keywords

stochastic optimal control

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risk-sensitive control

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optimal investment

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.ejcon.2022.100741

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

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

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

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

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Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs

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Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II

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

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Optimal stochastic regulators with state-dependent weights

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Optimal regulators for a class of nonlinear stochastic systems

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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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Risk-sensitive portfolio optimization problems with fixed income securities

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Maximum Principles for a Class of Partial Information Risk-Sensitive Optimal Controls

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

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

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The dynamic linear exponential Gaussian team problem

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On the optimal control of stochastic systems with an exponential-of- integral performance index

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Indefinite stochastic LQ controls with Markovian jumps in a finite time horizon

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Mean-Variance Portfolio Selection with Random Parameters in a Complete Market

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A new risk-sensitive maximum principle

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Multiple-objective risk-sensitive control and its small noise limit

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Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation

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Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls

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An adaptive terminal guidance scheme based on an exponential cost criterion with application to homing missile guidance

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Optimization of stochastic linear systems with additive measurement and process noise using exponential performance criteria

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Risk-sensitive linear/quadratic/gaussian control

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Identifiers

Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.EJCON.2022.100741

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Sitelinks

Mathematics(1 entry)

mardi Publication:2681175

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