Some results on risk-sensitive control with full observation
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 1-41 |
| Journal / Publication | Applied Mathematics and Optimization |
| Volume | 37 |
| Issue number | 1 |
| Publication status | Published - 1998 |
| Externally published | Yes |
Link(s)
Abstract
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. © 1998 Springer-Verlag New York Inc.
Research Area(s)
- Bellman equation, Differential game, Risk-sensitive control, Small noise limit
Citation Format(s)
Some results on risk-sensitive control with full observation. / Bensoussan, A.; Frehse, J.; Nagai, H.
In: Applied Mathematics and Optimization, Vol. 37, No. 1, 1998, p. 1-41.
In: Applied Mathematics and Optimization, Vol. 37, No. 1, 1998, p. 1-41.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
