A risk-sensitive control dual approach to a large deviations control problem
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(25)- Duality between large deviation control and risk-sensitive control for Markov decision processes
- 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
- Some results on risk-sensitive control with full observation
- Portfolio management under drawdown constraint in discrete-time financial markets
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- A new approach to estimation of the effectiveness of control decisions under conditions of risk in ACS's
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- Accelerated gradient methods with biased gradient estimates: risk sensitivity, high-probability guarantees, and large deviation bounds
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- Risk-sensitive control for a class of nonlinear systems with multiplicative noise
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- 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
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