A risk-sensitive control dual approach to a large deviations control problem

DOI10.1016/S0167-6911(03)00100-2MaRDI QIDQ2503513zbMATHOpenAlexFDO

Authors Huyên Pham

Publication date 21 September 2006

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

Full work available at URL https://doi.org/10.1016/s0167-6911(03)00100-2

zbMATH Keywords

Bellman equationDualityLarge deviationsRisk-sensitive controlControlled diffusion

Mathematics Subject Classification ID

Large deviations (60F10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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Cites work

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• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• A large deviations approach to optimal long term investment
• Bellman Equations of Risk-Sensitive Control
• Optimal Control of Favorable Games with a Time Limit
• Quantile hedging
• Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
• Risk-Sensitive Control of Finite State Machines on an Infinite Horizon I
• Risk-Sensitive Control on an Infinite Time Horizon
• Risk-sensitive control and an optimal investment model.
• Risk-sensitive dynamic asset management

Cited in

(23)

• Control Against Large Deviation for Oscillatory Systems
• Portfolio management under drawdown constraint in discrete-time financial markets
• Risk-sensitivity vanishing limit for controlled Markov processes
• Asymptotics of the probability minimizing a ``down-side risk
• A large deviations approach to optimal long term investment
• Asymptotics of the probability of minimizing ``down-side risk under partial information
• On portfolio choice by maximizing the outperformance probability
• scientific article; zbMATH DE number 4159497 (Why is no real title available?)
• Downside risk minimization via a large deviations approach
• A risk-sensitive stochastic control approach to an optimal investment problem with partial information
• Markov decision processes under risk sensitivity: a discount vanishing approach
• An eigenvalue approach to the risk sensitive control problem in near monotone case
• A lower bound for optimal risk in dual control problems
• Risk-sensitive control for a class of nonlinear systems with multiplicative noise
• Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem
• A new approach to estimation of the effectiveness of control decisions under conditions of risk in ACS's
• Long-term optimal portfolios with floor
• A note on long-term optimal portfolios under drawdown constraints
• Some results on risk-sensitive control with full observation
• scientific article; zbMATH DE number 3939236 (Why is no real title available?)
• A large deviations control problem on Heston market model
• Duality between large deviation control and risk-sensitive control for Markov decision processes
• Asymptotics of robust utility maximization

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