scientific article; zbMATH DE number 3928863

MaRDI QIDQ3703778zbMATH OpenFDO

Authors Peter Whittle

Publication date 1986

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)

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Cited in

(13)

• State-space formulae for all stabilizing controllers that satisfy an \(H_{\infty}\)-norm bound and relations to risk sensitivity
• Risk-sensitivity, large deviations and stochastic control
• De minimis and equity in risk
• Entropy-minimising and risk-sensitive control rules
• Similar risks have similar prices: a useful and exact quantification
• The stochastic interdependence of dynamic risk-sensitive decision rules
• Implicit Mean Value and Certainty Equivalence
• 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
• First Order Certainty Equivalence
• Zero utility principles coinciding on binary risks
• Agency contracts with incentive mechanisms considering supplier risk aversion in a dynamic platform supply chain

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