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

DOI10.1109/TAC.2010.2044275MaRDI QIDQ4978849zbMATH OpenFDO

Authors Jianhui Huang, Xun Li, Guangchen Wang

Publication date 25 August 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.2010.2044275

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Sensitivity (robustness) (93B35)

Cited in

(22)

• Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information
• A reliable small sample classification algorithm by Elman neural network based on PLS and GA
• 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
• An optimal portfolio and consumption problem with a benchmark and partial information
• Necessary condition for near optimal control of linear forward-backward stochastic differential equations
• The maximum principle for partially observed optimal control of forward-backward stochastic systems with random jumps
• Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
• Minimum principle for partially observable nonlinear risk-sensitive control problems using measure-valued decompositions
• Near-maximum principle for general recursive utility optimal control problem
• The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system
• Stackelberg stochastic differential game with asymmetric noisy observations
• A partially observed nonzero-sum stochastic differential game with delays and its application to finance
• Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations
• Linear quadratic optimal control for time-delay stochastic system with partial information
• A class of optimal control problems of forward-backward systems with input constraint
• Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls
• A general maximum principle for partially observed stochastic evolution control systems
• Partially observable optimal control using exponential cost criterion
• Linear quadratic optimal control problems for conditional mean-field stochastic differential equations under partial information
• Risk-sensitive singular control for stochastic recursive systems and Hamilton-Jacobi-Bellman inequality

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