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Min-Max Characterization of a Small Noise Limit on Risk-Sensitive Control

Nagai, Hideo; Bensoussan, Alain (1997), Min-Max Characterization of a Small Noise Limit on Risk-Sensitive Control, SIAM Journal on Control and Optimization, 35, 4, p. 1093-1115. http://dx.doi.org/10.1137/S0363012995279420

Type
Article accepté pour publication ou publié
Date
1997
Journal name
SIAM Journal on Control and Optimization
Volume
35
Number
4
Publisher
SIAM
Pages
1093-1115
Publication identifier
Metadata
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Author(s)
Nagai, Hideo
Bensoussan, Alain
Abstract (EN)
Stochastic control problems on a finite horizon with exponential cost criteria are considered. By taking a kind of singular limit a Hamilton-Jacobi-Isaacs equation is obtained. Its solution is characterized as the lower value function of a deterministic differential game related to robust control of nonlinear systems.
Subjects / Keywords
differential game; Hamilton-Jacobi-Isaacs equation; small noise limit; Stochastic control; risk-sensitive control