Robust optimal control for a consumption-investment problem.

Alexander Schied

Published in: Math. Methods Oper. Res. (2008)

Keyphrases

optimal control
control problems
feedback control
dynamic programming
control strategy
risk sensitive
optimal control problems
decision making
class of nonlinear systems
machine learning
infinite horizon
control law
long run
brownian motion
lyapunov function
control method
mathematical model