Risk-sensitive control with HARA utility

DOI10.1109/9.917658MaRDI QIDQ4540352zbMATH OpenOpenAlexWikidataFDO

Authors Andrew Lim, Xun Yu Zhou

Publication date 21 July 2002

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/9dabeee9078a2f5cff5678ec7923a6e405928857

zbMATH Keywords

differential gameHARA controllershyperbolic absolute risk averse utility functionlinear-quadratic controlrisk-sensitive controlrobust controllersupper/lower Isaacs equationsviscosity solution

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Linear-quadratic optimal control problems (49N10) Differential games and control (49N70) Optimal stochastic control (93E20)

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Cited in

(12)

• Multiple-objective risk-sensitive control and its small noise limit
• The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations
• Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance
• Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
• The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system
• Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type
• Variance-penalized Markov decision processes: dynamic programming and reinforcement learning techniques
• Nonzero-sum risk-sensitive stochastic games on a countable state space
• Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations
• Maximum principle for differential games of forward-backward stochastic systems with applications
• Global maximum principle for partially observed risk-sensitive progressive optimal control of fbsde with Poisson jumps
• A risk-sensitive global maximum principle for controlled fully coupled FBSDEs with applications

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