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dc.contributor.authorFrehse, Jens
dc.contributor.authorNagai, Hideo
dc.contributor.authorBensoussan, Alain
dc.date.accessioned2011-06-23T15:41:44Z
dc.date.available2011-06-23T15:41:44Z
dc.date.issued1998
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6591
dc.language.isoenen
dc.subjectRisk-sensitive controlen
dc.subjectSmall noise limiten
dc.subjectDifferential gameen
dc.subjectBellman equationen
dc.subject.ddc519en
dc.titleSome Results on Risk-Sensitive Control with Full Observationen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThe 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.en
dc.relation.isversionofjnlnameApplied Mathematics and Optimization
dc.relation.isversionofjnlvol37en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate1998
dc.relation.isversionofjnlpages1-41en
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s002459900067en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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