IEEE Transactions on Automatic Control, Vol.55, No.6, 1438-1443, 2010
Maximum Principles for a Class of Partial Information Risk-Sensitive Optimal Controls
In this technical note, we study a class of partial information risk-sensitive optimal controls. The main results are some necessary and sufficient conditions for these partial information control problems. For illustration, one example is proposed and then solved using our results.
Keywords:Girsanov theorem;maximum principle;partial information;risk-sensitive control;spike variation