General finite-dimensional risk-sensitive problems and small noise limits
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Publication:4876586
DOI10.1109/9.481520zbMath0853.93103OpenAlexW2142946645MaRDI QIDQ4876586
Robert J. Elliott, Alain Bensoussan
Publication date: 5 May 1996
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/9.481520
Filtering in stochastic control theory (93E11) Differential games (aspects of game theory) (91A23) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20)
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On the application of minimum principle for solving partially observable risk-sensitive control problems ⋮ Finite-dimensional solutions of a modified Zakai equation ⋮ Regime switching optimal growth model with risk sensitive preferences ⋮ New explicit filters and smoothers for diffusions with nonlinear drift and measurements ⋮ Lie algebraic methods in optimal control of stochastic systems with exponential-of-integral cost ⋮ On asymptotic stability of continuous-time risk-sensitive filters with respect to initial conditions
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