Robust control and recursive utility
Robust control and recursive utility
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DOI：
10.1007/s007800300100
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发表时间：
2003-10
影响因子：
1.7
通讯作者：
Costis Skiadas
中科院分区：
文献类型：
--
作者：
Costis Skiadas
本文证明了汉森，萨金特及其合著者在最近的论文中提出的鲁棒控制准则的有限时域形式可以描述为递归效用，它在连续时间内采用Duffie和Epstein（1992）的随机微分效用（SDU）的形式。虽然之前已经注意到，在鲁棒控制设置中产生的贝尔曼方程与从SDU最大化产生的贝尔曼方程具有相同的形式，但是这里直接示出了这种连接，而没有参考任何潜在的动态或马尔可夫结构。
This paper shows that a finite-horizon version of the robust control criterion appearing in recent papers by Hansen, Sargent, and their coauthors can be described as recursive utility, which in continuous time takes the form of the Stochastic Differential Utility (SDU) of Duffie and Epstein (1992). While it has previously been noted that Bellman equations arising in robust control settings are of the same form as Bellman equations arising from SDU maximization, here this connection is shown directly without reference to any underlying dynamics, or Markov structure.