A Finite-Dimensional Risk-Sensitive Control Problem
DOI10.1137/S0363012993255879zbMATH Open0841.93081OpenAlexW1983156134MaRDI QIDQ4862439FDOQ4862439
Authors: Robert J. Elliott, Alain Bensoussan 
Publication date: 8 February 1996
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012993255879
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- Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem
- An eigenvalue approach to the risk sensitive control problem in near monotone case
- Dynamic programming subject to total variation distance ambiguity
- Finite-dimensional solutions of a modified Zakai equation
- Risk-sensitive and risk-neutral control for continuous-time hidden Markov models
- Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions
- On the global convergence of relative value iteration for infinite-horizon risk-sensitive control of diffusions
- Robust adaptive control for linear systems with unknown parameters
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- Risk-sensitive control and an abstract Collatz-Wielandt formula
- Dissipativity and risk-sensitivity in control problems
- Risk sensitive nonlinear filtering with correlated noises
- Finite- dimensional optimal controllers for nonlinear plants
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- Infinite Horizon Average Cost Dynamic Programming Subject to Total Variation Distance Ambiguity
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