A new risk-sensitive maximum principle

IEEE Transactions on Automatic Control

Volumn 50, Issue 7, 2005, Pages 958-966

  Lim, Andrew E B ^a   Zhou, Xun Yu ^b  

^a DEPARTMENT OF INDUSTRIAL ENGINEERING AND OPERATIONS RESEARCH   (United States)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Adjoint equatious; Backward stochastic differential equations; Logarithmic transformation; Maximum principle; Risk sensitive control

Indexed keywords

BROWNIAN MOVEMENT; CONTROL THEORY; DIFFERENTIAL EQUATIONS; HAMILTONIANS; MATHEMATICAL TRANSFORMATIONS; NONLINEAR EQUATIONS; OPTIMAL CONTROL SYSTEMS; PARAMETER ESTIMATION; THEOREM PROVING;

ADJOINT EQUATIONS; BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; LOGARITHMIC TRANSFORMATION; RISK SENSITIVE CONTROL;

MAXIMUM PRINCIPLE;

EID: 23144447826     PISSN: 00189286     EISSN: None     Source Type: Journal    
DOI: 10.1109/TAC.2005.851441     Document Type: Article

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