Optimal risk control under functionally restricted perturbation

MaRDI QIDQ2854202zbMATH OpenFDO

Authors Dmitriĭ A. Serkov

Publication date 17 October 2013

Published in Matematicheskaya Teoriya Igr i eë Prilozheniya (Search for Journal in Brave)

Full work available at URL http://mathnet.ru/eng/mgta105

zbMATH Keywords

Savage criterionmethod of program iterationsfunctionally limited perturbationquasi-strategystrategy with full memory

Mathematics Subject Classification ID

Applications of game theory (91A80) Differential games (aspects of game theory) (91A23) Control/observation systems governed by ordinary differential equations (93C15)

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Cited in

(6)

• Control with a guide in the guarantee optimization problem under functional constraints on the disturbance
• Optimal Control of Conditional Value-at-Risk in Continuous Time
• On a solution of a guarantee optimization problem under the functional constraints on the disturbance
• Risk minimization under functional constraints on the dynamic disturbance
• On the unimprovability of full-memory strategies in the risk minimization problem
• A lower bound for optimal risk in dual control problems

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