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Necessary and Sufficient Conditions for Risk-Sensitive Optimal Control with Delay

Author(s)
Moon, Jun
Issued Date
2018-09-11
URI
https://scholarworks.unist.ac.kr/handle/201301/80941
Citation
The SICE Annual Conference 2018
Abstract
In this paper, we consider risk-sensitive optimal control for stochastic differential delayed equations. We obtain necessary and sufficient conditions for optimality in terms of the coupled anticipated backward stochastic differential equations via the logarithmic transformation of the associated risk-neutral problem. As an application, we consider the risk-sensitive linear-quadratic optimal control with delay, for which we obtain an explicit optimal solution.
Publisher
Society of Instrument and Control Engineers

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