Risk-Sensitive LQG Discounted Control Problems and Their Asymptotic Behavior

DOI10.1137/21m1459253zbMath1518.49039OpenAlexW4377988331MaRDI QIDQ6159013

Unnamed Author, Daniel Hernández-Hernández

Publication date: 1 June 2023

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/21m1459253

zbMATH Keywords

stochastic controlrisk-sensitivelinear-quadratic Gaussian (LQG)linear-quadratic-exponential problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Asymptotic behavior of solutions to PDEs (35B40) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10) Stochastic stability in control theory (93E15) Existence theories for optimal control problems involving ordinary differential equations (49J15)

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