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Total risk aversion, stochastic optimal control, and differential games

https://doi.org/10.1007/bf01448203
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/bf00281780openalex-snapshot
The maximum principle for viscosity solutions of fully nonlinear second order partial differential equations
inferredcites →https://doi.org/10.1007/bf01163605openalex-snapshot
Linear oblique derivative problems for the uniformly elliptic Hamilton-Jacobi-Bellman equation
inferredcites →https://doi.org/10.1016/0022-0396(77)90188-7openalex-snapshot
Differential games with Lipschitz control functions and fixed initial control positions
inferredcites →https://doi.org/10.1016/0022-0396(84)90040-8openalex-snapshot
Viscosity solutions of Isaacs' equations and differential games with Lipschitz controls
inferredcites →https://doi.org/10.1016/s0076-5392(08)x6069-2openalex-snapshot
The Hamilton-Jacobi Equation A Global Approach
inferredcites →https://doi.org/10.1090/memo/0126openalex-snapshot
The existence of value in differential games
inferredcites →https://doi.org/10.1090/s0002-9939-1988-0934877-2openalex-snapshot
A Uniqueness Result for Viscosity Solutions of Second Order Fully Nonlinear Partial Differential Equations
inferredcites →https://doi.org/10.1090/s0002-9947-1976-0419010-4openalex-snapshot
Differential Games With Lipschitz Control Functions and Applications to Games With Partial Differential Equations
inferredcites →https://doi.org/10.1090/s0002-9947-1983-0690039-8openalex-snapshot
Viscosity solutions of Hamilton-Jacobi equations
inferredcites →https://doi.org/10.1090/s0002-9947-1984-0732102-xopenalex-snapshot
Some properties of viscosity solutions of Hamilton-Jacobi equations
inferredcites →https://doi.org/10.1109/proc.1978.10918openalex-snapshot
Dynamic programming and stochastic control
inferredcites →https://doi.org/10.1215/s0012-7094-85-05242-1openalex-snapshot
Neumann type boundary conditions for Hamilton-Jacobi equations
inferredcites →https://doi.org/10.1512/iumj.1984.33.33040openalex-snapshot
inferredcites →https://doi.org/10.21236/ada127758openalex-snapshot
Differential Games and Representation Formulas for Solutions of Hamilton-Jacobi-Isaacs Equations.
inferredcites →https://doi.org/10.2307/2286377openalex-snapshot
Dynamic Programming and Stochastic Control.

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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On the Relation between Robust and Bayesian Decision Making
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Risk-sensitive control and dynamic games: The discrete-time case
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Stochastic Manufacturing Systems: Production and Maintenance Control
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Optimal Investment Models and Risk Sensitive Stochastic Control
inferred← citeshttps://doi.org/10.1007/bf01211853openalex-snapshot
Connections between stochastic control and dynamic games
inferred← citeshttps://doi.org/10.1007/bf01442392openalex-snapshot
Total risk aversion and the pricing of options
inferred← citeshttps://doi.org/10.1007/bfb0040230openalex-snapshot
Differential games and totally risk-averse optimal control of systems with small disturbances
inferred← citeshttps://doi.org/10.1007/bfb0094295openalex-snapshot
Some applications of viscosity solutions to optimal control and differential games
inferred← citeshttps://doi.org/10.1007/bfb0113240openalex-snapshot
Risk sensitive optimal control and differential games
inferred← citeshttps://doi.org/10.1007/s00245-003-0776-4openalex-snapshot
Conditional Essential Suprema with Applications
inferred← citeshttps://doi.org/10.1016/j.jedc.2003.05.002openalex-snapshot
On the relation between robust and Bayesian decision making
inferred← citeshttps://doi.org/10.1016/s0005-1098(98)00153-8openalex-snapshot
Risk-sensitive and minimax control of discrete-time, finite-state Markov decision processes
inferred← citeshttps://doi.org/10.1016/s0301-4797(03)00004-5openalex-snapshot
Sustainability of fisheries through marine reserves: a robust modeling analysis
inferred← citeshttps://doi.org/10.1023/a:1008734827394openalex-snapshot
Guaranteed Output Feedback Control for Uncertain Systems under Control and State Constraints
inferred← citeshttps://doi.org/10.1108/eb027004openalex-snapshot
Economic Properties of the Risk Sensitive Criterion for Portfolio Management
inferred← citeshttps://doi.org/10.1109/cdc.1994.411092openalex-snapshot
Numerical methods for infinite horizon risk sensitive stochastic control
inferred← citeshttps://doi.org/10.1109/cdc.1998.757859openalex-snapshot
Risk-sensitive production planning
inferred← citeshttps://doi.org/10.1109/cdc.2002.1184645openalex-snapshot
Action functional stochastic H/sup ∞/ estimation for nonlinear discrete time systems
inferred← citeshttps://doi.org/10.1137/s0363012993243629openalex-snapshot
Risk-Sensitive Production Planning of Stochastic Manufacturing Systems: A Singular Perturbation Approach
inferred← citeshttps://doi.org/10.1137/s0363012993258720openalex-snapshot
Risk-Sensitive Control on an Infinite Time Horizon
inferred← citeshttps://doi.org/10.1137/s0363012994262695openalex-snapshot
Uniqueness for Viscosity Solutions of Nonstationary Hamilton–Jacobi–Bellman Equations under Some a Priori Conditions (with Applications)
inferred← citeshttps://doi.org/10.1137/s036301299631034xopenalex-snapshot
Risk-Sensitive Production Planning of a Stochastic Manufacturing System
inferred← citeshttps://doi.org/10.1214/aoap/1177005355openalex-snapshot
The Russian Option: Reduced Regret
inferred← citeshttps://doi.org/10.3792/pjaa.69.119openalex-snapshot
On total risk aversion and differential games for controlled parabolic equations
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