Works (8)
Updated: July 5th, 2023 16:04
2002 journal article
Finite time-horizon risk-sensitive control and the robust limit under a quadratic growth assumption
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 40(5), 1628–1661.
author keywords: risk-sensitive control; robust; H-infinity; viscosity solutions; nonlinear HJB equations; nonlinear Isaacs equations
TL;DR:
It is shown that the risk-sensitive value function is the solution of the corresponding dynamic programming equation and converges to the value of the robust control problem as the cost becomes infinitely risk averse, with corresponding scaling of the diffusion coefficient.
(via Semantic Scholar)
citeseerx.ist.psu.edu (repository)
Source: Web Of Science
Added: August 6, 2018
2001 journal article
Robust limits of risk sensitive nonlinear filters
MATHEMATICS OF CONTROL SIGNALS AND SYSTEMS, 14(2), 109–142.
author keywords: nonlinear filtering; risk sensitive; robust filtering; H-alpha filtering; viscosity solutions; Hamilton-Jacobi-Bellman equations
TL;DR:
A risk sensitive stochastic approach to nonlinear filtering is considered, in which the traditional expected mean squared error criterion is replaced by an expected exponential-of-mean squared error.
(via Semantic Scholar)
Source: Web Of Science
Added: August 6, 2018
2000 journal article
A max-plus-based algorithm for a Hamilton-Jacobi-Bellman equation of nonlinear filtering
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 38(3), 683–710.
author keywords: nonlinear filtering; robust; H(infinity); max-plus algebra; nonlinear HJB equations
TL;DR:
The Hamilton--Jacobi--Bellman (HJB) equation associated with the {robust/\hinfty} filter (as well as the Mortensen filter) is considered.
(via Semantic Scholar)
Source: Web Of Science
Added: August 6, 2018
2000 journal article
Singularly perturbed control systems using non-commutative computer algebra
INTERNATIONAL JOURNAL OF ROBUST AND NONLINEAR CONTROL, 10(11-12), 983–1003.
author keywords: non-commutative algebra; computer algebra; dynamic control; singular perturbation; control systems
Source: Web Of Science
Added: August 6, 2018
1998 journal article
A uniqueness result for the Isaacs equation corresponding to nonlinear H infinity control
MATHEMATICS OF CONTROL SIGNALS AND SYSTEMS, 11(4), 303–334.
author keywords: H infinity control; nonlinear control; differential games; viscosity solutions; uniqueness; representation
TL;DR:
It is shown that there exists a unique viscosity solution in the class of solutions meeting a certain growth condition, and a representation in terms of available storage is obtained.
(via Semantic Scholar)
Source: Web Of Science
Added: August 6, 2018
1998 journal article
Robust/H-infinity, filtering for nonlinear systems
Systems and Control Letters, 33(5), 315–325.
Source: NC State University Libraries
Added: August 6, 2018
1997 journal article
A robust control framework for option pricing
MATHEMATICS OF OPERATIONS RESEARCH, 22(1), 202–221.
author keywords: option pricing; Black-Scholes formula; robust control; viscosity solutions
TL;DR:
With these methods, it can be shown that for the standard model with a bounded, stochastic volatility, the Black and Scholes price corresponding to the upper bound for volatility is sufficient to hedge the option.
(via Semantic Scholar)
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Source: Web Of Science
Added: August 6, 2018
1997 journal article
Risk-sensitive and robust escape criteria
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 35(6), 2021–2049.
author keywords: exit time control; risk-sensitive control; large deviations; robust control
Source: Web Of Science
Added: August 6, 2018
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