General finite-dimensional risk-sensitive problems and small noise limits

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Original languageEnglish
Pages (from-to)210-215
Journal / PublicationIEEE Transactions on Automatic Control
Issue number2
Publication statusPublished - 1996
Externally publishedYes


For a risk-sensitive, partially observed stochastic control problem, the modified Zakai equation includes an extra term related to the exponential running cost. The finite-dimensional solutions of this modified Zakai equation are obtained. These are analogs of the Kalman and Benes filters. The small noise limits of the finite-dimensional risk-sensitive problems are then obtained. These lead to differential games with deterministic disturbances. © 1996 IEEE.