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

Alain Bensoussan; Robert J. Elliott

doi:10.1109/9.481520

Author(s)

Alain Bensoussan
Robert J. Elliott

Detail(s)

Original language	English
Pages (from-to)	210-215
Journal / Publication	IEEE Transactions on Automatic Control
Volume	41
Issue number	2
Publication status	Published - 1996
Externally published	Yes

Link(s)

DOI	DOI https://doi.org/10.1109/9.481520 Final Published version
	Check@CityULib
Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-0030081579&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(b19c2150-0ffc-49d7-b544-1ab5f0b05f87).html

Abstract

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.

Citation Format(s)

[ RIS ] [ BibTeX ]

General finite-dimensional risk-sensitive problems and small noise limits. / Bensoussan, Alain; Elliott, Robert J.

In: IEEE Transactions on Automatic Control, Vol. 41, No. 2, 1996, p. 210-215.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

Bensoussan, A & Elliott, RJ 1996, 'General finite-dimensional risk-sensitive problems and small noise limits', IEEE Transactions on Automatic Control, vol. 41, no. 2, pp. 210-215. https://doi.org/10.1109/9.481520

Bensoussan, A., & Elliott, R. J. (1996). General finite-dimensional risk-sensitive problems and small noise limits. IEEE Transactions on Automatic Control, 41(2), 210-215. https://doi.org/10.1109/9.481520

Bensoussan A, Elliott RJ. General finite-dimensional risk-sensitive problems and small noise limits. IEEE Transactions on Automatic Control. 1996;41(2):210-215. https://doi.org/10.1109/9.481520

Bensoussan, Alain ; Elliott, Robert J. / General finite-dimensional risk-sensitive problems and small noise limits. In: IEEE Transactions on Automatic Control. 1996 ; Vol. 41, No. 2. pp. 210-215.