Large deviation limit for discrete-time, totally observed stochastic control problems with multiplicative cost |
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| Authors: | P Dai Pra C Rudari |
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| Institution: | (1) Dipartimento di Matematica, Università di Padova, Via Belzoni 7, 35100 Padova, Italy;(2) Facoltà di Scienze, Università di Verona, Strada le Grazie, 37100 Berona, Italy |
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| Abstract: | We show that a large class of discrete-time dynamic games can be obtained as a limit of stochastic control problems with multiplicative
cost. Our approach consists in analyzing the large deviation properties of the Markov kernels associated with the stochastic
dynamics, and allows us to give a unitary treatment of several nonlinear models. |
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| Keywords: | Nonlinear stochastic control Dynamic games Large deviations |
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