Risk sensitive stochastic control and differential games

DOI10.4310/CIS.2006.V6.N3.A1MaRDI QIDQ2474728zbMATH OpenFDO

Authors Wendell Fleming

Publication date 6 March 2008

Published in Communications in Information and Systems (Search for Journal in Brave)

zbMATH Keywords

dynamic programmingzero-sum differential gamesMarkov diffusion processes

Mathematics Subject Classification ID

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 stochastic differential games with reflecting diffusions
• Risk-sensitive nonzero-sum stochastic differential game with unbounded coefficients
• Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
• Max-plus stochastic control and risk-sensitivity
• Multigrid methods for two-player zero-sum stochastic games.
• scientific article; zbMATH DE number 48691 (Why is no real title available?)
• 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
• A scaling limit for utility indifference prices in the discretised Bachelier model
• Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls
• 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
• scientific article; zbMATH DE number 440541 (Why is no real title available?)
• Risk-sensitive control and an abstract Collatz-Wielandt formula
• Dissipativity and risk-sensitivity in control problems
• Risk sensitive portfolio optimization with default contagion and regime-switching
• Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type
• Risk-Sensitive Mean-Field Games
• Risk-sensitive asset management and cascading defaults

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