Some results on risk-sensitive control with partial information

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)22_Publication in policy or professional journalNot applicable

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Author(s)

Detail(s)

Original languageEnglish
Pages (from-to)2853-2857
Journal / PublicationProceedings of the IEEE Conference on Decision and Control
Volume3
Publication statusPublished - 1995
Externally publishedYes

Conference

TitleProceedings of the 1995 34th IEEE Conference on Decision and Control. Part 1 (of 4)
CityNew Orleans, LA, USA
Period13 - 15 December 1995

Abstract

We consider in this presentation the risk-sensitive control problem with partial observation. Risk-sensitive Zakai and Kushner equations are established and studied. They are explicitly solved in all situations where the classical Zakai and Kushner equations can be solved. In these cases the solution of the control problem can be characterized nicely. Also, the small noise case is considered. The limit problem is a differential game with output control. The full justification of all the results is still a long range plan.