Explicit Solution to a Certain Non-ELQG Risk-sensitive Stochastic Control Problem

Explicit Solution to a Certain Non-ELQG Risk-sensitive Stochastic Control Problem A risk-sensitive stochastic control problem with finite/infinite horizon is studied with a 1-dimensional controlled process defined by a linear SDE with a linear control-term in the drift. In the criterion function, a non-linear/quadratic term is introduced by using the solution to a Riccati differential equation, and hence, the problem is not ELQG (Exponential Linear Quadratic Gaussian) in general. For the problem, optimal value and control are calculated in explicit forms and the set of admissible risk-sensitive parameters is given in a concrete form. As applications, two types of large deviations control problems, i.e., maximizing an upside large deviations probability and minimizing a downside large deviations probability, are mentioned. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Explicit Solution to a Certain Non-ELQG Risk-sensitive Stochastic Control Problem

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Copyright © 2010 by Springer Science+Business Media, LLC
Mathematics; Numerical and Computational Physics; Mathematical Methods in Physics; Theoretical, Mathematical and Computational Physics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization
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