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Some Results on Risk-Sensitive Control with Full Observation |
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| Authors: | A. Bensoussan J. Frehse H. Nagai |
| Affiliation: | CNES, 2 place Maurice Quentin, 75001 Paris, France, FR Institut für Angewandte Mathematik, Universit?t Bonn, Bonn, Germany, DE Department of Mathematical Science, Faculty of Engineering Science, Osaka University, Toyonaka, Osaka, Japan, JP |
| 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. Accepted 25 March 1996 |
| Keywords: | . Risk-sensitive control Small noise limit Differential game Bellman equation. AMS Classification. 93E20 49L20 35K 90D. |
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