Generalized Risk-Sensitive Optimal Control and Hamilton-Jacobi-Bellman Equation
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Moon, Jun | - |
dc.date.accessioned | 2022-07-06T20:36:24Z | - |
dc.date.available | 2022-07-06T20:36:24Z | - |
dc.date.created | 2021-07-14 | - |
dc.date.issued | 2021-05 | - |
dc.identifier.issn | 0018-9286 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/hanyang/handle/2021.sw.hanyang/141977 | - |
dc.description.abstract | In this article, we consider the generalized risk-sensitive optimal control problem, where the objective functional is defined by the controlled backward stochastic differential equation (BSDE) with quadratic growth coefficient. We extend the earlier results of the risk-sensitive optimal control problem to the case of the objective functional given by the controlled BSDE. Note that the risk-neutral stochastic optimal control problem corresponds to the BSDE objective functional with linear growth coefficient, which can be viewed as a special case of the article. We obtain the generalized risk-sensitive dynamic programming principle for the value function via the backward semigroup associated with the BSDE. Then we show that the corresponding value function is a viscosity solution to the Hamilton-Jacobi-Bellman equation. Under an additional parameter condition, the viscosity solution is unique, which implies that the solution characterizes the value function. We apply the theoretical results to the risk-sensitive European option pricing problem. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC | - |
dc.title | Generalized Risk-Sensitive Optimal Control and Hamilton-Jacobi-Bellman Equation | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Moon, Jun | - |
dc.identifier.doi | 10.1109/TAC.2020.3004717 | - |
dc.identifier.scopusid | 2-s2.0-85103362759 | - |
dc.identifier.wosid | 000642765200033 | - |
dc.identifier.bibliographicCitation | IEEE TRANSACTIONS ON AUTOMATIC CONTROL, v.66, no.5, pp.2319 - 2325 | - |
dc.relation.isPartOf | IEEE TRANSACTIONS ON AUTOMATIC CONTROL | - |
dc.citation.title | IEEE TRANSACTIONS ON AUTOMATIC CONTROL | - |
dc.citation.volume | 66 | - |
dc.citation.number | 5 | - |
dc.citation.startPage | 2319 | - |
dc.citation.endPage | 2325 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Automation & Control Systems | - |
dc.relation.journalResearchArea | Engineering | - |
dc.relation.journalWebOfScienceCategory | Automation & Control Systems | - |
dc.relation.journalWebOfScienceCategory | Engineering, Electrical & Electronic | - |
dc.subject.keywordPlus | STOCHASTIC DIFFERENTIAL-EQUATIONS | - |
dc.subject.keywordPlus | FULLY COUPLED FBSDES | - |
dc.subject.keywordPlus | VISCOSITY SOLUTIONS | - |
dc.subject.keywordPlus | BSDES | - |
dc.subject.keywordPlus | GAMES | - |
dc.subject.keywordPlus | UNIQUENESS | - |
dc.subject.keywordPlus | SUM | - |
dc.subject.keywordAuthor | Optimal control | - |
dc.subject.keywordAuthor | Viscosity | - |
dc.subject.keywordAuthor | Indexes | - |
dc.subject.keywordAuthor | Differential equations | - |
dc.subject.keywordAuthor | Stochastic processes | - |
dc.subject.keywordAuthor | Dynamic programming | - |
dc.subject.keywordAuthor | Europe | - |
dc.subject.keywordAuthor | Backward stochastic differential equations (BSDE) | - |
dc.subject.keywordAuthor | Hamilton& | - |
dc.subject.keywordAuthor | #8211 | - |
dc.subject.keywordAuthor | Jacobi& | - |
dc.subject.keywordAuthor | #8211 | - |
dc.subject.keywordAuthor | Bellman (HJB) equations | - |
dc.subject.keywordAuthor | risk-sensitive optimal control | - |
dc.subject.keywordAuthor | viscosity solutions | - |
dc.identifier.url | https://ieeexplore.ieee.org/document/9124629 | - |
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