General finite-dimensional risk-sensitive problems and small noise limits

DOI10.1109/9.481520MaRDI QIDQ4876586zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

Benes filtersdifferential gamesKalman filterrisk-sensitiveZakai equation

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Nonlinear systems in control theory (93C10) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

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Cited in

(10)

• 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 the application of minimum principle for solving partially observable risk-sensitive control problems
• Finite-dimensional solutions of a modified Zakai equation
• On asymptotic stability of continuous-time risk-sensitive filters with respect to initial conditions
• Regime switching optimal growth model with risk sensitive preferences
• Small noise methods for risk-sensitive/robust economies
• New finite-dimensional risk-sensitive filters: small noise limits
• A Finite-Dimensional Risk-Sensitive Control Problem
• Small parameter limit for ergodic, discrete-time, partially observed, risk-sensitive control problems

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