Risk-Sensitive Control on an Infinite Time Horizon
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- scientific article; zbMATH DE number 440541
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(only showing first 100 items - show all)- Risk-sensitive portfolio optimization problems with fixed income securities
- Solutions of the average cost optimality equation for finite Markov decision chains: Risk-sensitive and risk-neutral criteria
- Risk-sensitivity conditions for stochastic uncertain model validation
- Robust/\(H_{\infty}\) filtering for nonlinear systems
- A uniqueness result for the Isaacs equation corresponding to nonlinear \(H_\infty\) control
- Risk sensitive control of Markov processes in countable state space
- Connections between stochastic control and dynamic games
- Some results and problems in risk sensitive stochastic control
- Hierarchical production control in a stochastic manufacturing system with long-run average cost
- Asymptotic for the principal eigenvalue and eigenfunction of a nearly first-order operator with large potential
- Phase transitions and metastability in Markovian and molecular systems
- Risk-sensitive control of stochastic hybrid systems on infinite time horizon
- Optimal long term growth rate of expected utility of wealth
- Hierarchical production control in a stochastic \(N\)-machine flowshop with long-run average cost.
- Hierarchical production control in dynamic stochastic jobshops with long-run average cost
- Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps
- An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
- Strict monotonicity of principal eigenvalues of elliptic operators in \(\mathbb R^d\) and risk-sensitive control
- Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions
- Risk sensitive control of the lifetime ruin problem
- Risk-sensitive control and an optimal investment model. II.
- Robust control and differential games on a finite time horizon
- The risk-sensitive index and the \(H_ 2\) and \(H_ \infty\) norms for nonlinear systems
- Risk-sensitive asset management with lognormal interest rates
- Long-run risk sensitive dyadic impulse control
- Robust designs through risk sensitivity: an overview
- Ergodic risk-sensitive control for regime-switching diffusions
- Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition
- Regime switching optimal growth model with risk sensitive preferences
- Asymptotics of the probability minimizing a ``down-side risk
- Zero-sum stochastic differential games with risk-sensitive cost
- Twisted probabilities, uncertainty, and prices
- Optimality equations and inequalities in a class of risk-sensitive average cost Markov decision chains
- Ergodic type Bellman equations of first order with quadratic Hamiltonian
- Saddle points of discrete Markov zero-sum game with stopping
- Asymptotics of robust utility maximization
- Portfolios and risk premia for the long run
- An eigenvalue approach to the risk sensitive control problem in near monotone case
- Zero-sum risk-sensitive stochastic games on a countable state space
- On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control
- A risk-sensitive control dual approach to a large deviations control problem
- Optimal control of multiscale systems using reduced-order models
- BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
- Risk-sensitive semi-Markov decision problems with discounted cost and general utilities
- On the global convergence of relative value iteration for infinite-horizon risk-sensitive control of diffusions
- On the monotonicity property of the generalized eigenvalue for weakly-coupled cooperative elliptic systems
- Local Poisson equations associated with the Varadhan functional
- Risk-sensitive control of continuous time Markov chains
- A differential game for a multiclass queueing model in the moderate-deviation heavy-traffic regime
- An optimality system for finite average Markov decision chains under risk-aversion
- Zero-sum risk-sensitive stochastic differential games
- Relative Value Iteration for Stochastic Differential Games
- Robust portfolios and weak incentives in long-run investments
- Strong convergence of asymptotically pseudocontractive semigroup by viscosity iteration
- Singular perturbations in risk-sensitive stochastic control
- Stochastic exit time problems arising in process control
- Variational and optimal control representations of conditioned and driven processes
- Boundary-influenced robust controls: two network examples
- scientific article; zbMATH DE number 5697113 (Why is no real title available?)
- On Differential Games with Long-Time-Average Cost
- Dissipative stochastic differential systems with risk-sensitive storage function and control design problems
- Large time asymptotic problems for optimal stochastic control with superlinear cost
- The equivalence between infinite-horizon optimal control of stochastic systems with exponential-of-integral performance index and stochastic differential games
- Risk-sensitive estimation and a differential game
- Risk-Sensitive Control of Finite State Machines on an Infinite Horizon I
- Risk-Sensitive and Robust Escape Criteria
- Risk-sensitive control with HARA utility
- Long time asymptotics for optimal investment
- Ergodic problems for viscous Hamilton-Jacobi equations with inward drift
- Control Against Large Deviation for Oscillatory Systems
- Abstract, classic, and explicit turnpikes
- Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
- A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models
- Nonequilibrium Markov processes conditioned on large deviations
- Ergodic control of diffusions with random intervention times
- Nonzero-sum risk-sensitive stochastic differential games with discounted costs
- On the parabolic equation for portfolio problems
- On the policy improvement algorithm for ergodic risk-sensitive control
- An ergodic BSDE risk representation in a jump-diffusion framework
- ``Controlled versions of the Collatz-Wielandt and Donsker-Varadhan formulae
- Risk-sensitive control and an abstract Collatz-Wielandt formula
- Zero-sum semi-Markov games with a probability criterion
- Risk-Sensitive Reinforcement Learning via Policy Gradient Search
- Adaptive smoothing for path integral control
- On the singular risk-sensitive stochastic maximum principle
- Risk-sensitive asset management and cascading defaults
- Nonzero-sum risk-sensitive stochastic games on a countable state space
- Variational approach to rare event simulation using least-squares regression
- Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
- Optimal Control of Conditional Value-at-Risk in Continuous Time
- A mathematical analysis of technical analysis
- A variational characterization of the risk-sensitive average reward for controlled diffusions on \(\mathbb{R}^d\)
- Turnpike in optimal control of PDEs, ResNets, and beyond
- Existence of solutions to the Hamilton-Jacobi-Bellman equation under quadratic growth conditions
- Large deviation limit for discrete-time, totally observed stochastic control problems with multiplicative cost
- Young, timid, and risk takers
- Risk-sensitive control with near monotone cost
- A New Monotonicity Condition for Ergodic Backward SDEs and Ergodic Control with Superquadratic Hamiltonians
- Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach
- Risk-Sensitive LQG Discounted Control Problems and Their Asymptotic Behavior
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