- Abstract:
-
In this paper, a new maximum principle for the risk-sensitive control problem is established. One important feature of this result is that it applies to systems in which the diffusion term may depend on the control. Such control dependence gives rise to interesting phenomena not observed in the usual setting where control independence of the diffusion term is assumed. In particular, there is an additional second order adjoint equation and additional terms in the maximum condition that involve...
Expand abstract - Publisher copy:
- 10.1109/TAC.2005.851441
-
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- Journal:
- IEEE Transactions on Automatic Control
- Volume:
- 50
- Issue:
- 7
- Pages:
- 958-966
- Publication date:
- 2005-07-05
- DOI:
- ISSN:
-
0018-9286
- URN:
-
uuid:2b562a0f-f5dc-43ac-bd87-5ff37776489e
- Source identifiers:
-
147907
- Local pid:
- pubs:147907
- Language:
- English
- Keywords:
- Copyright date:
- 2005
Journal article
A new risk-sensitive maximum principle
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