A risk-sensitive maximum principle

DOI10.1016/0167-6911(90)90110-GzbMATH Open0724.93084OpenAlexW2084456077MaRDI QIDQ2277229FDOQ2277229

Authors: Peter Whittle 

Publication date: 1990

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(90)90110-g

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zbMATH Keywords

Hamilton-Jacobi equationsstochastic maximum principlerisk-sensitivityadditive cost function

Mathematics Subject Classification ID

Sensitivity, stability, well-posedness (49K40) Optimal stochastic control (93E20)

Cites Work

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Cited In (24)

• A uniqueness result for the Isaacs equation corresponding to nonlinear \(H_\infty\) control
• Maximum-loss, minimum-win and the Esscher pricing principle
• Risk-sensitive control for a class of diffusions with jumps
• The risk-sensitive index and the \(H_ 2\) and \(H_ \infty\) norms for nonlinear systems
• Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
• Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations
• Risk-sensitivity, large deviations and stochastic control
• Minimax games for stochastic systems subject to relative entropy uncertainty: applications to SDEs on Hilbert spaces
• A second-order necessary condition for risk-sensitive mean-field type control
• Asymptotic analysis of nonlinear stochastic risk-sensitive control and differential games
• Maximum variation of total risk
• Control of the multiclass \(\mathrm{G}/\mathrm{G}/1\) queue in the moderate deviation regime
• Continuous-time zero-sum games for Markov decision processes with discounted risk-sensitive cost criterion
• On the singular risk-sensitive stochastic maximum principle
• Variational and optimal control representations of conditioned and driven processes
• Maximum principle for partially observed risk-sensitive optimal control problem of McKean-Vlasov FBSDEs involving impulse controls
• Risk-sensitive estimation and a differential game
• The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk
• Dissipativity and risk-sensitivity in control problems
• Title not available (Why is that?)
• Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type
• Large deviation limit for discrete-time, totally observed stochastic control problems with multiplicative cost
• A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
• Finite-dimensional quasi-linear risk-sensitive control

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