• DocumentCode
    1428966
  • Title

    Maximum Principles for a Class of Partial Information Risk-Sensitive Optimal Controls

  • Author

    Huang, Jianhui ; Li, Xun ; Wang, Guangchen

  • Author_Institution
    Dept. of Appl. Math., Hong Kong Polytech. Univ., Kowloon, China
  • Volume
    55
  • Issue
    6
  • fYear
    2010
  • fDate
    6/1/2010 12:00:00 AM
  • Firstpage
    1438
  • Lastpage
    1443
  • Abstract
    In this technical note, we study a class of partial information risk-sensitive optimal controls. The main results are some necessary and sufficient conditions for these partial information control problems. For illustration, one example is proposed and then solved using our results.
  • Keywords
    optimal control; risk analysis; partial information risk sensitive optimal controls; Control systems; Filtration; Mathematics; Optimal control; Permission; Portfolios; Stochastic processes; Stochastic systems; Sufficient conditions; Girsanov theorem; maximum principle; partial information; risk-sensitive control; spike variation;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.2010.2044275
  • Filename
    5422685
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1428966