Indefinite Risk-Sensitive Control for a Class of Nonlinear Systems Mashael Algoulity; Bujar Gashi 2023 9th International Conference on Control, Decision and Information Technologies (CoDIT) Year: 2023 | Conference Paper | Publisher: IEEE
We consider the optimal control problem with an indefinite generalised risk-sensitive criterion, and a class of stochastic control systems with multiplicative noise that have a quadratic type nonlinearity in the state and control variables. All solutions to such an optimal control problem are obtained in an explicit closed-form as affine state-feedback controls with possibly random gains. An application to the optimal investment problem is also given.
We consider the problem of optimally tracking a financial benchmark in a market with random and possibly unbounded coefficients. This is an example of a stochastic linearquadratic control problem…
We consider the optimal control problem with an indefinite generalised risk-sensitive criterion, and a class of stochastic control systems with multiplicative noise that have a quadratic type…