Inverse Optimal Controller Design for Strict-feedback Stochastic Systems with Exponential-of-integral Cost

@inproceedings{Basar2002InverseOC,
  title={Inverse Optimal Controller Design for Strict-feedback Stochastic Systems with Exponential-of-integral Cost},
  author={Tamer Basar},
  year={2002}
}
For a class of nonlinear stochastic systems in strict-feedback form, where the diffusion coefficients depend on the state, we obtain risk-sensitive state-feedback controllers which are both globally inverse optimal and locally sub-optimal. These controllers also lead to closed-loop system trajectories that are bounded in probability.