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approach to risk sensitive control for stochastic evolution systems","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q4227199$DA13FC1B-B56A-4EA7-8622-586AA45A277E","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"3bc1f4b9a5b5a6df04241c2352e5d223495bd09b","datavalue":{"value":"The author considers the system \\(\\xi\\) governed by the following stochastic differential equation on some Sobolev space \\(H\\), \\[ d\\xi(t)= [A\\xi(t)+ \\delta(\\xi(t),U(t))]dt+ \\sqrt{\\varepsilon} dM_t, \\] where \\(A\\) is a uniformly elliptic differential operator, \\(M(t)\\) is an \\(H\\) valued random noise. The risk sensitive criterion \\(Y^\\varepsilon\\) is defined by \\[ Y^\\varepsilon (t,\\eta,U)= E\\exp \\frac{1}{\\varepsilon} \\Biggl[ \\int_0^t f(\\xi(s), U(s))ds+ q(\\xi(t)) \\Biggr], \\] where \\(U\\) is an admissible control. In order to study a small noise asymptotic of the value function, the author deals with the logarithmic transformation, \\(\\nu^\\varepsilon (t,\\eta)= \\varepsilon \\log\\inf_U Y^\\varepsilon (t,\\eta,U)\\). The game representation of \\(\\nu^\\varepsilon\\) is considered. In fact, \\(\\nu^\\varepsilon\\) satisfies a Hamilton-Jacobi-Bellman equation in the viscosity sense, and this equation is equivalent to the upper Isaacs equation through a Legendre transformation. Further, the coincidence of \\(\\nu^\\varepsilon\\) with the upper value function (in Elliot-Kalton sense), say \\(V^\\varepsilon\\), of a stochastic differential game is established. The existence of \\(\\lim_{\\varepsilon\\to 0} V^\\varepsilon\\) and the speed of convergence are studied. The limit function \\(V^0\\) is the unique viscosity solution of the paper Isaacs equation with \\(\\varepsilon=0\\), and coincides with the upper value function of a deterministic differential game. As a consequence, the game has a value. For the entire collection see [Zbl 0905.00042].","type":"string"},"datatype":"string"},"type":"statement","id":"Q4227199$4E172303-D3D4-490E-B5DE-0D7969040178","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Game approach to risk sensitive control for stochastic evolution systems","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Game_approach_to_risk_sensitive_control_for_stochastic_evolution_systems"}}}}}