Minimax games for stochastic systems subject to relative entropy uncertainty: applications to SDEs on Hilbert spaces

• Published in: Mathematics of control, signals, and systems Vol. 19; no. 1; pp. 65 - 91
• Main Authors: Ahmed, N. U., Charalambous, C. D.
• Format: Journal Article
• Language: English
• Published: London Springer Nature B.V 01.02.2007
• Subjects: Control theory; Entropy; Measurement; Nonlinear systems; Stochastic models

In this paper, we consider minimax games for stochastic uncertain systems with the pay-off being a nonlinear functional of the uncertain measure where the uncertainty is measured in terms of relative entropy between the uncertain and the nominal measure. The maximizing player is the uncertain measur...