Risk-Sensitive LQG Discounted Control Problems and Their Asymptotic Behavior
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Asymptotic behavior of solutions to PDEs (35B40) Existence theories for optimal control problems involving ordinary differential equations (49J15) Dynamic programming in optimal control and differential games (49L20) Linear-quadratic optimal control problems (49N10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic stability in control theory (93E15) Optimal stochastic control (93E20)
Recommendations
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- Finite Time--Horizon Risk-Sensitive Control and the Robust Limit under a Quadratic Growth Assumption
Cites work
- Asymptotic evaluation of certain Markov process expectations for large time—III
- Bellman Equations of Risk-Sensitive Control
- Conditions for no breakdown and Bellman equations of risk-sensitive control
- Controlled Markov processes and viscosity solutions
- Discounted additive functionals of Markov processes
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- Introduction to perturbation methods
- Matrix Riccati equations in control and systems theory
- Model Simplification and Optimal Control of Stochastic Singularly Perturbed Systems under Exponentiated Quadratic Cost
- Multiple time scale dynamics
- On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
- Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
- Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
- Remarks on risk-sensitive control problems
- Risk-sensitive control of continuous time Markov chains
- Risk-Sensitive Control on an Infinite Time Horizon
- Risk-sensitive portfolio optimization on infinite time horizon
- Singular perturbation methods for slow-fast dynamics
- Stochastic Control Theory
- Symmetry characterizations of certain distributions, 2: Discounted additive functionals and large deviations
- The equivalence between infinite-horizon optimal control of stochastic systems with exponential-of-integral performance index and stochastic differential games
- The vanishing discount approach in a class of zero-sum finite games with risk-sensitive average criterion
- Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion
- Weak dynamic programming principle for viscosity solutions
Cited in
(7)- An eigenvalue approach to the risk sensitive control problem in near monotone case
- Robust LMI stability, stabilization and \(H_\infty\) control for premium pricing models with uncertainties into a stochastic discrete-time framework
- Small Parameter Limit for Discrete-Time Partially Observed Risk-Sensitive Control Problems
- Discounted linear exponential quadratic Gaussian control
- Long run stochastic control problems with general discounting
- Dissipativity and risk-sensitivity in control problems
- Remarks on risk-sensitive control problems
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