Some results on risk-sensitive control with full observation

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)22_Publication in policy or professional journalNot applicable

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Author(s)

Detail(s)

Original languageEnglish
Pages (from-to)1657-1661
Journal / PublicationProceedings of the IEEE Conference on Decision and Control
Volume2
Publication statusPublished - 1995
Externally publishedYes

Conference

TitleProceedings of the 1995 34th IEEE Conference on Decision and Control. Part 1 (of 4)
CityNew Orleans, LA, USA
Period13 - 15 December 1995

Abstract

We consider in this presentation the risk-sensitive control problems under fairly general assumptions, in particular as far growth conditions are concerned. This is a much more delicate issue than in the classical stochastic control problem. We then consider the case of small variance of the noises and study the limit, which is related to robust control. The limit problem corresponds to a differential game. In this paper, the complete observation case is considered.