Risk sensitive stochastic control and differential games
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Publication:2474728
DOI10.4310/CIS.2006.V6.N3.A1zbMATH Open1132.93049MaRDI QIDQ2474728FDOQ2474728
Authors: Wendell Fleming 
Publication date: 6 March 2008
Published in: Communications in Information and Systems (Search for Journal in Brave)
Recommendations
Differential games and control (49N70) Continuous-time Markov processes on general state spaces (60J25) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
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- Risk-sensitive nonzero-sum stochastic differential game with unbounded coefficients
- Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
- Multigrid methods for two-player zero-sum stochastic games.
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- Max-plus stochastic control and risk-sensitivity
- Risk-sensitive large-population linear-quadratic-Gaussian games with major and minor agents
- Nonanticipative risk sensitive control: the martingale method.
- Risk sensitive control of the lifetime ruin problem
- Stochastic differential games and inverse optimal control and stopper policies
- Overcoming the timescale barrier in molecular dynamics: Transfer operators, variational principles and machine learning
- Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations
- Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions
- Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls
- A scaling limit for utility indifference prices in the discretised Bachelier model
- Risk-Sensitive Zero-Sum Differential Games
- On the global convergence of relative value iteration for infinite-horizon risk-sensitive control of diffusions
- Risk sensitive control of diffusions with small running cost
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- Risk-sensitive control and an abstract Collatz-Wielandt formula
- Risk sensitive portfolio optimization with default contagion and regime-switching
- Dissipativity and risk-sensitivity in control problems
- Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type
- Risk-sensitive asset management and cascading defaults
- Risk-Sensitive Mean-Field Games
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