Risk-sensitive control for a class of nonlinear systems with multiplicative noise

Optimum consumption and portfolio rules in a continuous-time model

Robert C. Merton · Journal of Economic Theory · 1971 · 6.1K citations

Mathematical Programming, Economics, Portfolio Optimization +9

State-space formulae for all stabilizing controllers that satisfy an H∞-norm bound and relations to relations to risk sensitivity

K. Glover, John C. Doyle · Systems & Control Letters · 1988 · 1.4K citations

Engineering, State-space Formulae, H∞-norm Bound +8

Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games

D. Jacobson · IEEE Transactions on Automatic Control · 1973 · 711 citations

Exponential Performance Criteria, Differential Game, Stochastic Game +10

Risk-sensitive linear/quadratic/gaussian control

Peter Whittle · Advances in Applied Probability · 1981 · 493 citations

Bayesian Decision Theory, Engineering, Robust Control +16

Quadratic Term Structure Models: Theory and Evidence

Dong-Hyun Ahn, Robert F. Dittmar, A. Ronald Gallant · Review of Financial Studies · 2002 · 478 citations

Economics, Term Structure Model, Financial Economics +10