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
TypeArticle accepté pour publication ou publié
Journal nameApplied Mathematics and Optimization
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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 / KeywordsRisk-sensitive control; Small noise limit; Differential game; Bellman equation
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