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
fDate :
6/1/2010 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.2010.2044275
