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Risk-Sensitive Stochastic Control

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Encyclopedia of Systems and Control

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Abstract

Motivated by understanding “robustness” from the view points of stochastic control, the studies of risk-sensitive control have been developed. The idea was applied to portfolio optimization problems in mathematical finance, from which new kinds of problem on stochastic control, named “large deviation control,” have been brought, and currently the studies are in progress.

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Author information

Authors and Affiliations

  1. Osaka University, Osaka, Japan

    Hideo Nagai

Authors
  1. Hideo Nagai
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Editor information

Editors and Affiliations

  1. Mechanical Engineering, Electrical and Computer Engineering, Boston University, Boston, MA, USA

    John Baillieul

  2. Honeywell Automation and Control Solutions, Golden Valley, MN, USA

    Tariq Samad

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© 2015 Springer-Verlag London

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Nagai, H. (2015). Risk-Sensitive Stochastic Control. In: Baillieul, J., Samad, T. (eds) Encyclopedia of Systems and Control. Springer, London. https://doi.org/10.1007/978-1-4471-5058-9_233

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