A risk-sensitive maximum principle

[1]  P. Whittle.  Risk-Sensitive Optimal Control , 1990 .

[2]  Entropy-minimizing and risk-sensitive control rules , 1989 .

[3]  R. Elliott,et al.  The variational principle for optimal control of diffusions with partial information , 1989 .

[4]  K. Glover,et al.  State-space formulae for all stabilizing controllers that satisfy and H ∞ norm bound and relations to risk sensitivity , 1988 .

[5]  U. Haussmann,et al.  A stochastic maximum principle for optimal control of diffusions , 1986 .

[6]  P. Whittle,et al.  A hamiltonian formulation of risk-sensitive Linear/quadratic/gaussian control , 1986 .

[7]  A. Bensoussan.  Current results and issues in stochastic control , 1986 .

[8]  W. Fleming.  A stochastic control approach to some large deviations problems , 1985 .

[9]  M. Freidlin,et al.  Random Perturbations of Dynamical Systems , 1984 .

[10]  Alain Bensoussan,et al.  Stochastic maximum principle for distributed parameter systems , 1983 .

[11]  Alain Bensoussan,et al.  Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions , 1983 .

[12]  P. Whittle.  Risk-sensitive linear/quadratic/gaussian control , 1981, Advances in Applied Probability.

[13]  U. G. Haussmann,et al.  Some Examples of Optimal Stochastic Controls OR: The Stochastic Maximum Principle at Work , 1981 .

[14]  Huibert Kwakernaak.  A minimum principle for stochastic control problems with output feedback , 1981 .

[15]  W. Fleming,et al.  Optimal exit probabilities and differential games , 1981 .

[16]  Robert J. Elliott,et al.  The variational principle and stochastic optimal control , 1980 .

[17]  J. Bismut.  An Introductory Approach to Duality in Optimal Stochastic Control , 1978 .

[18]  W. Fleming.  Exit probabilities and optimal stochastic control , 1977 .

[19]  A Stochastic Maximum Principle , 1976 .

[20]  H. Kushner.  Necessary conditions for continuous parameter stochastic optimization problems , 1972 .

[21]  W. Fleming.  Stochastic Control for Small Noise Intensities , 1971 .

[22]  H. Kushner.  On the stochastic maximum principle: Fixed time of control , 1965 .

[23]  M. S. Bartlett,et al.  Some Evolutionary Stochastic Processes , 1949 .