Risk-sensitive and robust escape control for degenerate diffusion processes

DOI10.1007/PL00009877zbMath0979.93122OpenAlexW1999037109MaRDI QIDQ5936218

Michelle Boué, Paul Dupuis

Publication date: 19 February 2002

Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/pl00009877

zbMATH Keywords

robust controlcontrolled diffusiondegenerate processesexit timerisk-sensitive controlstochastic differential gamevalue functionvariational representations

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15)

Related Items (3)

Optimal control of diffusion processes pertaining to an opioid epidemic dynamical model with random perturbations ⋮ An escape time interpretation of robust control ⋮ The Boué-Dupuis formula and the exponential hypercontractivity in the Gaussian space

This page was built for publication: Risk-sensitive and robust escape control for degenerate diffusion processes