Some results on risk-sensitive control with full observation (Q1381319): Difference between revisions
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Revision as of 16:28, 14 September 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Some results on risk-sensitive control with full observation |
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Some results on risk-sensitive control with full observation (English)
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6 October 1998
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This paper is concerned with the Bellman equation of risk-sensitive control with full observation. Using fine analytic techniques, the authors prove the existence of a unique solution with regularity properties, for general quasi-parabolic equations. For the Bellman equation, they show the following facts under mild conditions: (1) The related risk-sensitive control has no breaking down and its value function coincides with the solution to the Bellman equation. (2) An optimal feedback control is constructed. (3) The small noise limit corresponds to a differential game.
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Bellman equation
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risk-sensitive control
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full observation
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existence of a unique solution
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small noise limit
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differential game
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