Risk-sensitive control with HARA utility

DOI10.1109/9.917658zbMATH Open1030.93055OpenAlexW2118695950WikidataQ56953200 ScholiaQ56953200MaRDI QIDQ4540352FDOQ4540352

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

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zbMATH Keywords

differential gameviscosity solutionlinear-quadratic controlrisk-sensitive controlrobust controllersupper/lower Isaacs equationsHARA controllershyperbolic absolute risk averse utility function

Mathematics Subject Classification ID

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

Cited In (10)

• Multiple-objective risk-sensitive control and its small noise limit
• Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance
• The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system
• 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 Risk-Sensitive Stochastic Optimal Control Problem and Applications to Finance
• Variance-penalized Markov decision processes: dynamic programming and reinforcement learning techniques
• Maximum principle for differential games of forward-backward stochastic systems with applications
• Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type
• The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations

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