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

Existence of optimal solutions to problems involving randomness (49J55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Linear systems in control theory (93C05) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

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Cited in

(61)

General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance
A formula for the optimal cost in the general discrete-time LEQG problem
State-space formulae for all stabilizing controllers that satisfy an \(H_{\infty}\)-norm bound and relations to risk sensitivity
Relations between maximum-entropy/\(H_{\infty}\) control and combined \(H_{\infty}/LQG\) control
Lie algebraic methods in optimal control of stochastic systems with exponential-of-integral cost
A variational representation for certain functionals of Brownian motion
Optimal control of a stochastic system with an exponential-of-integral performance criterion
Risk sensitive control of Markov processes in countable state space
On the application of minimum principle for solving partially observable risk-sensitive control problems
Connections between stochastic control and dynamic games
Finite-dimensional solutions of a modified Zakai equation
Some partially observed multi-agent linear exponential quadratic stochastic differential games
On the central controller: Characterizations via differential games and LEQG control problems
Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
Risk-sensitive and risk-neutral control for continuous-time hidden Markov models
Risk sensitive nonlinear filtering with correlated noises
Multi-point Gaussian states, quadratic-exponential cost functionals, and large deviations estimates for linear quantum stochastic systems
In between the \(LQG/H_2\)- and \(H_{\infty } \)-control theories
Optimal stochastic regulators with state-dependent weights
Partially observed nonlinear risk-sensitive optimal stopping control for nonlinear discrete-time systems
Generalised risk-sensitive control with full and partial state observation
Risk-sensitive control for a class of nonlinear systems with multiplicative noise
Risk sensitive identification of linear stochastic systems
Indefinite risk-sensitive control
Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
On optimal control law implementations for exponential performance index
Exponential linear quadratic optimal control with discounting
The equivalence between infinite-horizon optimal control of stochastic systems with exponential-of-integral performance index and stochastic differential games
Certain nonlinear partially observable stochastic optimal control problems with explicit control laws equivalent to LEQG/LQG problems
Classes of Nonlinear Partially Observable Stochastic Optimal Control Problems with Explicit Optimal Control Laws
Derivation of the maximum entropyH_∞-controller and a state-space formula for its entropy
Robust stochastic maximum principle for multi-model worst case optimization
Parametric randomization, complex symplectic factorizations, and quadratic-exponential functionals for Gaussian quantum states
Quadratic-exponential functionals of Gaussian quantum processes
Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type
A solvable stochastic control problem in hyperbolic three space
Infinite-horizon risk-sensitive performance criteria for translation invariant networks of linear quantum stochastic systems
On the evaluation of expected performance cost for partially observed closed-loop stochastic systems
On the evaluation of expected performance cost for partially observed closed-loop stochastic systems
A dual control problem and application to marketing
Large deviation limit for discrete-time, totally observed stochastic control problems with multiplicative cost
Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations
Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem
Stochastic Linear-Quadratic Optimal Control with Partial Observation
State-space computation of quadratic-exponential functional rates for linear quantum stochastic systems
Robust risk‐sensitive control
Dissipativity and risk-sensitivity in control problems
Risk-sensitive large-population linear-quadratic-Gaussian games with major and minor agents
Partially observed multi-player stochastic differential games under directed graphs
On the separation of estimation and control in risk-sensitive investment problems under incomplete observation
Data-driven direct adaptive risk-sensitive control of stochastic systems
Finite-dimensional quasi-linear risk-sensitive control
Partially observable optimal control using exponential cost criterion
Lyapunov's stability analysis for first degree polynomial systems, subject to risk-sensitive control
Quadratic-exponential coherent feedback control of linear quantum stochastic systems
A risk-sensitive global maximum principle for controlled fully coupled FBSDEs with applications
Discrete-time hybrid control with risk-sensitive discounted costs
Risk sensitive and LEG filtering problems are not equivalent
Application of the min-max certainty equivalence principle to the sampled data output feedback \(H^{\infty}\) control problem
Guaranteed cost LQG control for uncertain systems with a normalized coprime factor uncertainty structure
Minimax games for stochastic systems subject to relative entropy uncertainty: applications to SDEs on Hilbert spaces

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