Concepedia

Connections between stochastic control and dynamic games

Paolo Dai Pra, Lorenzo Meneghini, Wolfgang J. Runggaldier

Mathematics of Control Signals and Systems · 1996 · 172 citations · 13 references

DOI

Concepts

References

13

Dynamic Programming and Stochastic Control

Dimitri P. Bertsekas, Chelsea C. White · IEEE Transactions on Systems Man and Cybernetics · 1977 · 1.2K citations · Full text

, , +13

A Weak Convergence Approach to the Theory of Large Deviations

James Lynch, Paul Dupuis, Richard S. Ellis · Journal of the American Statistical Association · 1998 · 813 citations

, , +16

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

D. Jacobson · IEEE Transactions on Automatic Control · 1973 · 716 citations

, , +16

Risk-sensitive linear/quadratic/gaussian control

Peter Whittle · Advances in Applied Probability · 1981 · 499 citations

, , +13

Risk-Sensitive Control on an Infinite Time Horizon

Wendell H. Fleming, William M. McEneaney · SIAM Journal on Control and Optimization · 1995 · 307 citations

, , +17