scientific article; zbMATH DE number 3928863

zbMATH Open0579.93069MaRDI QIDQ3703778FDOQ3703778

Authors: Peter Whittle 

Publication date: 1986

Title of this publication is not available (Why is that?)

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zbMATH Keywords

risk-sensitive certainty equivalence principle

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Dynamic programming (90C39) Linear systems in control theory (93C05) Optimal stochastic control (93E20)

Cited In (12)

• Entropy-minimising and risk-sensitive control rules
• The stochastic interdependence of dynamic risk-sensitive decision rules
• Implicit Mean Value and Certainty Equivalence
• Risk-sensitivity, large deviations and stochastic control
• State-space formulae for all stabilizing controllers that satisfy an \(H_{\infty}\)-norm bound and relations to risk sensitivity
• Zero utility principles coinciding on binary risks
• Similar risks have similar prices: a useful and exact quantification
• First Order Certainty Equivalence
• De minimis and equity in risk
• On alternative methods of generating risk sensitive decision rules
• The expected loss and mean square error reductions of risk sensitive decisions
• Discounting axioms imply risk neutrality

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