An escape time interpretation of robust control

In Koo Cho, Kenneth Kasa

Research output: Contribution to journalArticlepeer-review


This paper studies the problem of an agent who wants to prevent the state from exceeding a critical threshold. Even though the agent is presumed to know the model, the optimal policy is computed by solving a conventional robust control problem. That is, robustness is induced here by objectives rather than uncertainty, and so is an example of the duality between risk-sensitivity and robustness. However, here the agent only incurs costs upon escape to a critical region, not during 'normal times'. We argue that this is often a more realistic model of macroeconomic policymaking.

Original languageEnglish (US)
Pages (from-to)1-12
Number of pages12
JournalJournal of Economic Dynamics and Control
StatePublished - May 2014


  • Large deviations
  • Robust control

ASJC Scopus subject areas

  • Economics and Econometrics
  • Control and Optimization
  • Applied Mathematics


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