Small Parameter Limit for Ergodic, Discrete-Time, Partially Observed, Risk-Sensitive Control Problems

Francesca Albertini; Paolo Dai Pra; Chiara Prior

doi:10.1007/pl00009875

Small Parameter Limit for Ergodic, Discrete-Time, Partially Observed, Risk-Sensitive Control Problems

Mathematics of Control Signals and Systems ◽

10.1007/pl00009875 ◽

2001 ◽

Vol 14 (1) ◽

pp. 1-28 ◽

Cited By ~ 2

Author(s):

Francesca Albertini ◽

Paolo Dai Pra ◽

Chiara Prior

Keyword(s):

Small Parameter ◽

Discrete Time ◽

Control Problems ◽

Risk Sensitive ◽

Partially Observed ◽

Risk Sensitive Control

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Small Parameter Limit for Discrete-Time Partially Observed Risk-Sensitive Control Problems

SIAM Journal on Control and Optimization ◽

10.1137/s0363012996307801 ◽

1998 ◽

Vol 37 (1) ◽

pp. 1-32 ◽

Cited By ~ 1

Author(s):

Francesca Albertini ◽

Paolo Dai Pra

Keyword(s):

Small Parameter ◽

Discrete Time ◽

Control Problems ◽

Risk Sensitive ◽

Partially Observed ◽

Risk Sensitive Control

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Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems

IEEE Transactions on Automatic Control ◽

10.1109/9.286253 ◽

1994 ◽

Vol 39 (4) ◽

pp. 780-792 ◽

Cited By ~ 181

Author(s):

M.R. James ◽

J.S. Baras ◽

R.J. Elliott

Keyword(s):

Nonlinear Systems ◽

Discrete Time ◽

Dynamic Games ◽

Risk Sensitive ◽

Partially Observed ◽

Risk Sensitive Control

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Risk sensitive control of discrete time partially observed Markov processes with infinite horizon

Proceedings of the 37th IEEE Conference on Decision and Control (Cat. No.98CH36171) ◽

10.1109/cdc.1998.758242 ◽

2002 ◽

Author(s):

G.B. Di Masi ◽

L. Stettner

Keyword(s):

Markov Processes ◽

Discrete Time ◽

Infinite Horizon ◽

Risk Sensitive ◽

Partially Observed ◽

Risk Sensitive Control

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Risk sensitive control of discrete time partially observed Markov Processes with Infinite Horizon

Stochastics and Stochastics Reports ◽

10.1080/17442509908834216 ◽

1999 ◽

Vol 67 (3-4) ◽

pp. 309-322 ◽

Cited By ~ 8

Author(s):

G. B. Di Masi ◽

L. Stettner

Keyword(s):

Markov Processes ◽

Discrete Time ◽

Infinite Horizon ◽

Risk Sensitive ◽

Partially Observed ◽

Risk Sensitive Control

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Infinite horizon risk sensitive control of discrete time Markov processes with small risk

Systems & Control Letters ◽

10.1016/s0167-6911(99)00118-8 ◽

2000 ◽

Vol 40 (1) ◽

pp. 15-20 ◽

Cited By ~ 19

Author(s):

G.B.Di Masi ◽

Ł. Stettner

Keyword(s):

Markov Processes ◽

Discrete Time ◽

Infinite Horizon ◽

Small Risk ◽

Risk Sensitive ◽

Risk Sensitive Control

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H/sub ∞/-optimal control of singularly perturbed discrete-time systems, and risk-sensitive control

Proceedings of 1994 33rd IEEE Conference on Decision and Control ◽

10.1109/cdc.1994.411193 ◽

2002 ◽

Cited By ~ 2

Author(s):

D.S. Naidu ◽

C.D. Charalambous ◽

K.L. Moore ◽

M.A. Abdelrahma

Keyword(s):

Optimal Control ◽

Discrete Time ◽

Singularly Perturbed ◽

Discrete Time Systems ◽

Risk Sensitive ◽

Risk Sensitive Control ◽

Time Systems

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Infinite horizon risk-sensitive control of nonlinear discrete time systems

Proceedings of the 36th IEEE Conference on Decision and Control ◽

10.1109/cdc.1997.657111 ◽

2002 ◽

Author(s):

T. Runolfsson

Keyword(s):

Discrete Time ◽

Infinite Horizon ◽

Discrete Time Systems ◽

Risk Sensitive ◽

Risk Sensitive Control ◽

Time Systems

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General Maximum Principles for Partially Observed Risk-Sensitive Optimal Control Problems and Applications to Finance

Journal of Optimization Theory and Applications ◽

10.1007/s10957-008-9484-1 ◽

2009 ◽

Vol 141 (3) ◽

pp. 677-700 ◽

Cited By ~ 17

Author(s):

G. C. Wang ◽

Z. Wu

Keyword(s):

Optimal Control ◽

Optimal Control Problems ◽

Maximum Principles ◽

Control Problems ◽

Risk Sensitive ◽

Partially Observed

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Minimum principle for partially observable nonlinear risk-sensitive control problems using measure-valued decompositions

Stochastics and Stochastics Reports ◽

10.1080/17442509608834063 ◽

1996 ◽

Vol 57 (3-4) ◽

pp. 247-288 ◽

Cited By ~ 48

Author(s):

Charalambos D. Charalambous ◽

Joseph. L. Hibey

Keyword(s):

Minimum Principle ◽

Control Problems ◽

Risk Sensitive ◽

Risk Sensitive Control ◽

Partially Observable

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Partially observed non-linear risk-sensitive optimal stopping control for non-linear discrete-time systems

Systems & Control Letters ◽

10.1016/j.sysconle.2006.03.005 ◽

2006 ◽

Vol 55 (9) ◽

pp. 770-776 ◽

Cited By ~ 2

Author(s):

Jason J Ford

Keyword(s):

Discrete Time ◽

Optimal Stopping ◽

Discrete Time Systems ◽

Risk Sensitive ◽

Partially Observed ◽

Non Linear ◽

Time Systems

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