Indefinite risk-sensitive control



Gashi, Bujar and Zhang, Moyu
(2022) Indefinite risk-sensitive control. European Journal of Control, 69. p. 100741.

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Abstract

We consider a risk-sensitive control problem with indefinite cost matrices. All solutions to such an optimal control problem are obtained in an explicit closed-form by the completion of squares and the change of measure methods. Both the finite and infinite horizon cases are considered. As an application, we find all solutions to an optimal investment problem in a market with a stochastic interest rate.

Item Type: Article
Uncontrolled Keywords: Stochastic optimal control, Risk-sensitive control, Optimal investment
Depositing User: Symplectic Admin
Date Deposited: 27 Sep 2022 09:28
Last Modified: 21 Sep 2023 01:30
DOI: 10.1016/j.ejcon.2022.100741
Related URLs:
URI: https://livrepository.liverpool.ac.uk/id/eprint/3164915