An escape time interpretation of robust control
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Cho, In-Koo | - |
dc.contributor.author | Kasa, Kenneth | - |
dc.date.accessioned | 2022-07-16T04:54:13Z | - |
dc.date.available | 2022-07-16T04:54:13Z | - |
dc.date.created | 2021-05-12 | - |
dc.date.issued | 2014-05 | - |
dc.identifier.issn | 0165-1889 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/hanyang/handle/2021.sw.hanyang/160039 | - |
dc.description.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. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER | - |
dc.title | An escape time interpretation of robust control | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Cho, In-Koo | - |
dc.identifier.doi | 10.1016/j.jedc.2014.02.014 | - |
dc.identifier.scopusid | 2-s2.0-84899766405 | - |
dc.identifier.wosid | 000336706400001 | - |
dc.identifier.bibliographicCitation | JOURNAL OF ECONOMIC DYNAMICS & CONTROL, v.42, pp.1 - 12 | - |
dc.relation.isPartOf | JOURNAL OF ECONOMIC DYNAMICS & CONTROL | - |
dc.citation.title | JOURNAL OF ECONOMIC DYNAMICS & CONTROL | - |
dc.citation.volume | 42 | - |
dc.citation.startPage | 1 | - |
dc.citation.endPage | 12 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.subject.keywordPlus | EXIT PROBABILITIES | - |
dc.subject.keywordAuthor | Robust control | - |
dc.subject.keywordAuthor | Large deviations | - |
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