The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations.
Jun MoonPublished in: Autom. (2020)
Keyphrases
- forward backward
- risk sensitive
- optimal control
- brownian motion
- stochastic differential equations
- hidden markov models
- utility function
- markov decision processes
- model free
- maximum a posteriori estimation
- dynamic programming
- control strategy
- control policies
- expected utility
- decision theoretic
- optimality criterion
- non stationary
- state space
- infinite horizon
- average cost
- decision problems