Although most of the theory development concerning risk measures has concentrated on convex or even coherent risk measures, nonconvex risk measures are used in practice, the prime example of course being Value-at-Risk. The purpose of this paper is to investigate the relations between various...

The aim of the present study is to construct a state feedback controller for a given linear system that minimizes the worst-case effect of an L 2 -bounded disturbance. Our setting is different from the usual framework of H1-theory in that we consider nonzero initial conditions. The situation is...