Risk-sensitive control of continuous time Markov chains
Author:
Affiliation:
1. Department of Mathematics, Indian Institute of Science, Bangalore 560 012, India
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2013.872644
Reference27 articles.
1. Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
2. Risk-Sensitive Dynamic Asset Management
3. Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation
4. Risk-Sensitive Control with Near Monotone Cost
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