Some Results on Risk-Sensitive Control with Full Observation
Some Results on Risk-Sensitive Control with Full Observation
Bensoussan, A.; Frehse, J.; Nagai, H.
2006-06-01 00:00:00
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.
http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.pngApplied Mathematics and OptimizationSpringer Journalshttp://www.deepdyve.com/lp/springer-journals/some-results-on-risk-sensitive-control-with-full-observation-eoCWjijD0g
Some Results on Risk-Sensitive Control with Full Observation
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics, Simulation
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.
Journal
Applied Mathematics and Optimization
– Springer Journals
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