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Some Results on Risk-Sensitive Control with Full Observation

Frehse, Jens; Nagai, Hideo; Bensoussan, Alain (1998), Some Results on Risk-Sensitive Control with Full Observation, Applied Mathematics and Optimization, 37, 1, p. 1-41. http://dx.doi.org/10.1007/s002459900067

Type
Article accepté pour publication ou publié
Date
1998
Journal name
Applied Mathematics and Optimization
Volume
37
Number
1
Publisher
Springer
Pages
1-41
Publication identifier
Metadata
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Author(s)
Frehse, Jens
Nagai, Hideo
Bensoussan, Alain
Abstract (EN)
The Bellman equation of the risk-sensitive control problem with full observation is considered. It appears as an example of a quasi-linear parabolic equation in the whole space, and fairly general growth assumptions with respect to the space variable x are permitted. The stochastic control problem is then solved, making use of the analytic results. The case of large deviation with small noises is then treated, and the limit corresponds to a differential game.
Subjects / Keywords
Risk-sensitive control; Small noise limit; Differential game; Bellman equation