An escape time interpretation of robust control
- Authors
- Cho, In-Koo; Kasa, Kenneth
- Issue Date
- May-2014
- Publisher
- ELSEVIER
- Keywords
- Robust control; Large deviations
- Citation
- JOURNAL OF ECONOMIC DYNAMICS & CONTROL, v.42, pp.1 - 12
- Indexed
- SSCI
SCOPUS
- Journal Title
- JOURNAL OF ECONOMIC DYNAMICS & CONTROL
- Volume
- 42
- Start Page
- 1
- End Page
- 12
- URI
- https://scholarworks.bwise.kr/hanyang/handle/2021.sw.hanyang/160039
- DOI
- 10.1016/j.jedc.2014.02.014
- ISSN
- 0165-1889
- Abstract
- This paper studies the problem of an agent who wants to prevent the state from exceeding a critical threshold. Even though the agent is presumed to know the model, the optimal policy is computed by solving a conventional robust control problem. That is, robustness is induced here by objectives rather than uncertainty, and so is an example of the duality between risk-sensitivity and robustness. However, here the agent only incurs costs upon escape to a critical region, not during 'normal times'. We argue that this is often a more realistic model of macroeconomic policymaking.
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Collections - 서울 경제금융대학 > 서울 경제금융학부 > 1. Journal Articles
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