Optimal Control of Conditional Value-at-Risk in Continuous Time.

Christopher W. Miller Insoon Yang

Published in: SIAM J. Control. Optim. (2017)

Keyphrases

optimal control
optimal control problems
control problems
feedback control
dynamic programming
class of nonlinear systems
control strategy
infinite horizon
control law
risk sensitive
reinforcement learning
brownian motion
lyapunov function
stochastic control
average cost
linear quadratic
real time