Small noise methods for risk-sensitive/robust economies
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Cites work
- scientific article; zbMATH DE number 3914817 (Why is no real title available?)
- scientific article; zbMATH DE number 48691 (Why is no real title available?)
- scientific article; zbMATH DE number 1099379 (Why is no real title available?)
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- Algorithms and economic dynamics. Selected papers from the 2nd annual meeting of the Society for Computational Economics, Geneva, Switzerland, 1996
- Asymptotic analysis of nonlinear stochastic risk-sensitive control and differential games
- Asymptotic methods for aggregate growth models
- Discounted linear exponential quadratic Gaussian control
- Higher-moments in perturbation solution of the linear-quadratic exponential Gaussian optimal control problem
- Optimal control and stochastic simulation of large nonlinear models with rational expectations
- Optimal control of a stochastic system with an exponential-of-integral performance criterion
- Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
- Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
- Risk Aversion in the Small and in the Large
- Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems
- Robust Permanent Income and Pricing
- Small noise asymptotics for a stochastic growth model
- Small parameter limit for ergodic, discrete-time, partially observed, risk-sensitive control problems
- Smooth dynamics and computation in models of economic growth
- Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
- Solving DSGE models with perturbation methods and a change of variables
- State-space formulae for all stabilizing controllers that satisfy an \(H_{\infty}\)-norm bound and relations to risk sensitivity
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
Cited in
(11)- The Asian financial crisis and international reserve accumulation: a robust control approach
- An escape time interpretation of robust control
- Stationary Markov perfect equilibria in risk sensitive stochastic overlapping generations models
- Temperature targets, deep uncertainty and extreme events in the design of optimal climate policy
- Economic policy rules for risk-sensitive decision making
- Stochastic optimal growth model with risk sensitive preferences
- Three types of robust Ramsey problems in a linear-quadratic framework
- Stochastic bequest games
- Risk matters: breaking certainty equivalence in linear approximations
- Recursive allocations and wealth distribution with multiple goods: existence, survivorship, and dynamics
- The expected loss and mean square error reductions of risk sensitive decisions
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