Encyclopedia of Systems and Control

Living Edition
| Editors: John Baillieul, Tariq Samad

Risk-Sensitive Stochastic Control

  • Hideo Nagai
Living reference work entry

Latest version View entry history

DOI: https://doi.org/10.1007/978-1-4471-5102-9_233-2


Motivated by understanding “robustness” from the viewpoints of stochastic control, the studies of risk-sensitive control have been developed. The idea was applied to portfolio optimization problems in mathematical finance, from which new kinds of problem on stochastic control, named “large deviation control,” have been brought and currently the studies are in progress.


Robustness Mathematical finance Large deviation control 
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Copyright information

© Springer-Verlag London Ltd., part of Springer Nature 2019

Authors and Affiliations

  • Hideo Nagai
    • 1
  1. 1.Department of MathematicsKansai UniversityOsakaJapan

Section editors and affiliations

  • Lei Guo
    • 1
  1. 1.Academy of Mathematics and Systems Science, Chinese Academy of Sciences (CAS)BeijingChina