A risk-sensitive control dual approach to a large deviations control problem
From MaRDI portal
Publication:2503513
DOI10.1016/S0167-6911(03)00100-2zbMATH Open1157.60308OpenAlexW1964223327MaRDI QIDQ2503513FDOQ2503513
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
Recommendations
- Duality between large deviation control and risk-sensitive control for Markov decision processes
- A large deviations control problem on Heston market model
- scientific article; zbMATH DE number 3939236
- Asymptotics of the probability minimizing a ``down-side risk
- Risk-Sensitive Control on an Infinite Time Horizon
Large deviations (60F10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
Cites Work
- Title not available (Why is that?)
- Quantile hedging
- Title not available (Why is that?)
- Title not available (Why is that?)
- Risk-sensitive dynamic asset management
- Risk-Sensitive Control of Finite State Machines on an Infinite Horizon I
- Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
- Risk-Sensitive Control on an Infinite Time Horizon
- A large deviations approach to optimal long term investment
- Risk-sensitive control and an optimal investment model.
- Optimal Control of Favorable Games with a Time Limit
- Bellman Equations of Risk-Sensitive Control
Cited In (22)
- Markov decision processes under risk sensitivity: a discount vanishing approach
- Downside risk minimization via a large deviations approach
- Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem
- An eigenvalue approach to the risk sensitive control problem in near monotone case
- A risk-sensitive stochastic control approach to an optimal investment problem with partial information
- Control Against Large Deviation for Oscillatory Systems
- Portfolio management under drawdown constraint in discrete-time financial markets
- Some results on risk-sensitive control with full observation
- Risk-sensitivity vanishing limit for controlled Markov processes
- Asymptotics of the probability of minimizing ``down-side risk under partial information
- A new approach to estimation of the effectiveness of control decisions under conditions of risk in ACS's
- Asymptotics of the probability minimizing a ``down-side risk
- Title not available (Why is that?)
- Title not available (Why is that?)
- Risk-sensitive control for a class of nonlinear systems with multiplicative noise
- On portfolio choice by maximizing the outperformance probability
- A large deviations approach to optimal long term investment
- A lower bound for optimal risk in dual control problems
- Long-term optimal portfolios with floor
- A note on long-term optimal portfolios under drawdown constraints
- Asymptotics of robust utility maximization
- Duality between large deviation control and risk-sensitive control for Markov decision processes
This page was built for publication: A risk-sensitive control dual approach to a large deviations control problem
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2503513)
