dc.citation.conferencePlace |
US |
- |
dc.citation.conferencePlace |
Centre of the Fontainebleau in Miami BeachMiami |
- |
dc.citation.endPage |
7057 |
- |
dc.citation.startPage |
7052 |
- |
dc.citation.title |
57th IEEE Conference on Decision and Control |
- |
dc.contributor.author |
Lee, Myoung Hoon |
- |
dc.contributor.author |
Moon, Jun |
- |
dc.date.accessioned |
2024-02-01T00:40:28Z |
- |
dc.date.available |
2024-02-01T00:40:28Z |
- |
dc.date.created |
2018-12-20 |
- |
dc.date.issued |
2018-12-17 |
- |
dc.description.abstract |
In this paper, we consider risk-sensitive optimal control for stochastic differential delayed equations. We use the logarithmic transformation of the associated risk-neutral problem to obtain the risk-sensitive maximum principle with delay, which is a necessary condition for optimality. We show that the risk-sensitive maximum principle with delay is characterized in terms of the variational inequality and the coupled anticipated backward stochastic differential equations (ABSDEs). The coupled ABSDEs consist of the first-order adjoint equation and an additional scalar ABSDE, where the latter is induced due to the non-smooth nonlinear transformation of the adjoint process of the associated risk-neutral problem.We also show that under an additional condition, the corresponding risk-sensitive maximum principle becomes sufficient. For applications, we consider the risk-sensitive linear-quadratic control problem with delay and the risk-sensitive optimal consumption problem with delay, for which we obtain the explicit optimal solutions. |
- |
dc.identifier.bibliographicCitation |
57th IEEE Conference on Decision and Control, pp.7052 - 7057 |
- |
dc.identifier.doi |
10.1109/CDC.2018.8619792 |
- |
dc.identifier.issn |
0743-1546 |
- |
dc.identifier.scopusid |
2-s2.0-85062189246 |
- |
dc.identifier.uri |
https://scholarworks.unist.ac.kr/handle/201301/80262 |
- |
dc.identifier.url |
https://ieeexplore.ieee.org/document/8619792 |
- |
dc.language |
영어 |
- |
dc.publisher |
Institute of Electrical and Electronics Engineers Inc. |
- |
dc.title |
The Stochastic Maximum Principle for Risk-Sensitive Optimal Control with Delay and Applications |
- |
dc.type |
Conference Paper |
- |
dc.date.conferenceDate |
2018-12-17 |
- |