A risk-sensitive maximum principle
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Cited in
(29)- Asymptotic analysis of nonlinear stochastic risk-sensitive control and differential games
- A uniqueness result for the Isaacs equation corresponding to nonlinear \(H_\infty\) control
- Risk-sensitivity, large deviations and stochastic control
- The risk-sensitive index and the \(H_ 2\) and \(H_ \infty\) norms for nonlinear systems
- Maximum variation of total risk
- Risk-sensitive control for a class of diffusions with jumps
- Continuous-time zero-sum games for Markov decision processes with discounted risk-sensitive cost criterion
- The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk
- Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
- Maximum-loss, minimum-win and the Esscher pricing principle
- Variational and optimal control representations of conditioned and driven processes
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- A risk-sensitive maximum principle: the case of imperfect state observation
- Risk-sensitive estimation and a differential game
- A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
- Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type
- On the singular risk-sensitive stochastic maximum principle
- 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
- Dissipativity and risk-sensitivity in control problems
- A second-order necessary condition for risk-sensitive mean-field type control
- Maximum principle for partially observed risk-sensitive optimal control problem of McKean-Vlasov FBSDEs involving impulse controls
- Finite-dimensional quasi-linear risk-sensitive control
- Global maximum principle for partially observed risk-sensitive progressive optimal control of fbsde with Poisson jumps
- Differential games, continuous Lyapunov functions, and stabilisation of non-linear dynamical systems
- A risk-sensitive global maximum principle for controlled fully coupled FBSDEs with applications
- A BSDE approach to the asymmetric risk-sensitive optimization and its applications
- Control of the multiclass \(\mathrm{G}/\mathrm{G}/1\) queue in the moderate deviation regime
- Minimax games for stochastic systems subject to relative entropy uncertainty: applications to SDEs on Hilbert spaces
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