Risk-sensitive and robust escape control for degenerate diffusion processes (Q5936218): Difference between revisions

This paper deals with the problem of controlling a possibly degenerate small noise diffusion, so as to prevent it from leaving a bounded open set \(G\). The controlled diffusion satisfies the stochastic differential equation \[ dX^{u,\varepsilon}= b(X^{u,\varepsilon}, u) dt+ \sqrt\varepsilon\sigma(X^{u, \varepsilon}) dW, \] where \(W\) is a Brownian motion and \(u\) an admissible control. Denoting the exit time from \(G\) by \(\tau^{u,\varepsilon}\), the authors investigate the value function \(V^\varepsilon\) by the risk-sensitive criterion; \(J^{\varepsilon,u}= -\varepsilon\log E_x\exp(-{\theta\tau^{u, \varepsilon}\over \varepsilon})\). Using probabilistic arguments and the representation formula, they expressed \(J^{\varepsilon, u}\) as the minimizing cost for a stochastic control problem. This fact derives that \(V^\varepsilon\) coincides with the upper value of stochastic differential game and \(V^\varepsilon\) converges to the value of an associated deterministic differential game, as \(\varepsilon\to 0\).