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Generalised Risk-Sensitive Control with Full and Partial State Observation |
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| Authors: | Paresh Date Bujar Gashi |
| Affiliation: | 1. The Centre for the Analysis of Risk and Optimisation Modelling Applications (CARISMA), The Department of Mathematical Sciences, Brunel University, Uxbridge, UB8 3PH, UK 2. Institute of Financial and Actuarial Mathematics (IFAM), Department of Mathematical Sciences, The University of Liverpool, Liverpool, L69 7ZL, UK |
| Abstract: | This paper generalises the risk-sensitive cost functional by introducing noise dependent penalties on the state and control variables. The optimal control problems for the full and partial state observation are considered. Using a change of probability measure approach, explicit closed-form solutions are found in both cases. This has resulted in a new risk-sensitive regulator and filter, which are generalisations of the well-known classical results. |
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