ISSN:
1432-0606
Keywords:
Key words. Risk-sensitive control, Small noise limit, Differential game, Bellman equation. AMS Classification. 93E20, 49L20, 35K, 90D.
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
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.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/s002459900067
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