Risk-Sensitive and Robust Escape Criteria

DOI10.1137/S0363012995281626zbMath0889.35014MaRDI QIDQ4377417

Paul Dupuis, William M. McEneaney

Publication date: 9 February 1998

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012995281626

zbMATH Keywords

robust control; large deviations; exit time control

Mathematics Subject Classification ID

91A23: Differential games (aspects of game theory)

93C10: Nonlinear systems in control theory

93B36: (H^infty)-control

93E20: Optimal stochastic control

60F10: Large deviations

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

93C99: Model systems in control theory

Related Items

Regular finite fuel stochastic control problems with exit time, Nonequilibrium Markov processes conditioned on large deviations, Estimation of the sojourn time of a weakly perturbed Lagrangian system in a given region, Control of the multiclass \(\mathrm{G}/\mathrm{G}/1\) queue in the moderate deviation regime, A differential game with exit costs, Portfolio optimization in a semi-Markov modulated market, Risk-sensitive portfolio optimization problems with fixed income securities, A uniqueness result for the Isaacs equation corresponding to nonlinear \(H_\infty\) control, Risk-sensitive control and differential games in infinite dimensions, Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information, Optimal control of diffusion processes pertaining to an opioid epidemic dynamical model with random perturbations, An escape time interpretation of robust control, Risk-sensitive control for a class of diffusions with jumps, Exit time risk-sensitive control for systems of cooperative agents, BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations., A partial history of the early development of continuous-time nonlinear stochastic systems theory, Unnamed Item, Stochastic exit time problems arising in process control, Unnamed Item