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RISK-SENSITIVITY, LARGE DEVIATIONS AND STOCHASTIC-CONTROL
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DOI：10.1016/0377-2217(94)90266-6.png)
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摘要
En 中文
An exponential function of cost is adopted as a risk-sensitive criterion, and reasons given that this choice should be a natural one. It is shown that the analysis leads to risk-sensitive versions of the certainty-equivalence principle (separation principle) and of the maximum principle, and that these have a validity even outside the usual linear/quadratic/Gaussian framework. The methods are applied to some simple examples of economic interest.
Keyword:
CONTROL
ECONOMICS
OPTIMIZATION
STOCHASTIC PROCESSES
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期刊
IF:
6
论文数:
2.2W
被引数:
6.4W
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