Conditions for no breakdown and Bellman equations of risk-sensitive control

A. Bensoussan; H. Nagai

doi:10.1007/s002450010007

Author(s)

A. Bensoussan
H. Nagai

Detail(s)

Original language	English
Pages (from-to)	91-101
Journal / Publication	Applied Mathematics and Optimization
Volume	42
Issue number	2
Publication status	Published - Sept 2000
Externally published	Yes

Link(s)

DOI	DOI https://doi.org/10.1007/s002450010007 Final Published version
	Check@CityULib
Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-0034262557&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(dea93763-5706-4bbf-950c-894bc16000cd).html

Abstract

In the treatment of the risk-sensitive control problem, it is known that the criterion function may not have a finite value. The risk parameter cannot be arbitrary. Conditions have been presented by the authors in previous papers to guarantee the no breakdown. In the present article, we present a framework in which the conditions can be greatly relaxed.

Citation Format(s)

[ RIS ] [ BibTeX ]

Conditions for no breakdown and Bellman equations of risk-sensitive control. / Bensoussan, A.; Nagai, H.
In: Applied Mathematics and Optimization, Vol. 42, No. 2, 09.2000, p. 91-101.

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

Bensoussan, A & Nagai, H 2000, 'Conditions for no breakdown and Bellman equations of risk-sensitive control', Applied Mathematics and Optimization, vol. 42, no. 2, pp. 91-101. https://doi.org/10.1007/s002450010007

Bensoussan, A., & Nagai, H. (2000). Conditions for no breakdown and Bellman equations of risk-sensitive control. Applied Mathematics and Optimization, 42(2), 91-101. https://doi.org/10.1007/s002450010007

Bensoussan A, Nagai H. Conditions for no breakdown and Bellman equations of risk-sensitive control. Applied Mathematics and Optimization. 2000 Sept;42(2):91-101. doi: 10.1007/s002450010007

Bensoussan, A. ; Nagai, H. / Conditions for no breakdown and Bellman equations of risk-sensitive control. In: Applied Mathematics and Optimization. 2000 ; Vol. 42, No. 2. pp. 91-101.