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  • 1
    Electronic Resource
    Electronic Resource
    Risk-sensitive and risk-neutral control for continuous-time hidden Markov models (1996)
    Springer
    Applied mathematics & optimization 34 (1996), S. 37-50 
    Details
    ISSN: 1432-0606
    Keywords: Risk-sensitive stochastic optimal control ; Finite-dimensional filters ; Hidden Markov models ; Viscosity solutions ; 93E20 ; 93E11 ; 49L25
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract In this paper the optimal control of a continuous-time hidden Markov model is discussed. The risk-sensitive problem involves a cost function which has an exponential form and a risk parameter, and is solved by defining an appropriate information state and dynamic programming. As the risk parameter tends to zero, the classical risk-neutral optimal control problem is recovered. The limits are proved using viscosity solution methods.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01182472
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