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Encyclopedia of Systems and Control pp 1–9Cite as

Risk-Sensitive Stochastic Control

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Abstract

Motivated by understanding “robustness” from the view points 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.

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Authors and Affiliations

  1. Osaka University, Osaka, Japan

    Hideo Nagai

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  1. Hideo Nagai
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Correspondence to Hideo Nagai .

Editor information

Editors and Affiliations

  1. Electrical and Computer Engineering, Boston University, Boston, Massachusetts, USA

    John Baillieul

  2. Automation and Control Solutions, Honeywell, Golden Valley, Minnesota, USA

    Tariq Samad

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© 2014 Springer-Verlag London

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Nagai, H. (2014). Risk-Sensitive Stochastic Control. In: Baillieul, J., Samad, T. (eds) Encyclopedia of Systems and Control. Springer, London. https://doi.org/10.1007/978-1-4471-5102-9_233-1

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

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  • Publisher Name: Springer, London

  • Online ISBN: 978-1-4471-5102-9

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Chapter history

  1. Latest

    Risk-Sensitive Stochastic Control
    Published:
    11 September 2019

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

  2. Original

    Risk-Sensitive Stochastic Control
    Published:
    22 March 2014

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

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