Generalised Risk-Sensitive Control with Full and Partial State Observation-Reference-Cited by-同舟云学术

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Generalised Risk-Sensitive Control with Full and Partial State Observation

Published:2012-08-31 Issue:1 Volume:13 Page:87-101
ISSN:2214-2487
Container-title:Journal of Mathematical Modelling and Algorithms in Operations Research
language:en
Short-container-title:J Math Model Algor

Author:

Date Paresh,Gashi Bujar

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Modelling and Simulation

Link

http://link.springer.com/content/pdf/10.1007/s10852-012-9205-5.pdf

Reference20 articles.

1. Anderson, B.D.O., Moore, J.: Optimal Control: Linear Quadratic Methods. Prentice Hall (1990)

2. Bensoussan, A., Van Schuppen, J.H.: Optimal control of partially observable stochastic systems with an exponential-of-integral performance index. SIAM J. Control Optim. 23, 599–613 (1985)

3. Bielecki, T.R., Pliska, S.R., Sheu, S.J.: Risk sensitive portfolio management with Cox–Ingersoll–Ross interest rates: the HJB equation. SIAM J. Control Optim. 44, 1811–1843 (2005)

4. Davis, M.H.A., Lleo, S.: Jump-diffusion risk-sensitive asset management I: diffusion factor model. SIAM J. Financ. Math. 2, 22–54 (2011)

5. Glover, K., Doyle, J.: State space formulae for all stabilizing controllers that satisfy an H ∞ norm bound and relation to risk-sensitivity. Syst. Control Lett. 11, 167–172 (1988)

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