Some results on risk-sensitive control with full observation (Q1381319): Difference between revisions
From MaRDI portal
Removed claims |
Changed an Item |
||
| Property / author | |||
| Property / author: Alain Bensoussan / rank | |||
Normal rank | |||
| Property / author | |||
| Property / author: Jens Frehse / rank | |||
Normal rank | |||
| Property / author | |||
| Property / author: Hideo Nagai / rank | |||
Normal rank | |||
| Property / reviewed by | |||
| Property / reviewed by: Makiko Nisio / rank | |||
Normal rank | |||
Revision as of 03:53, 10 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Some results on risk-sensitive control with full observation |
scientific article |
Statements
Some results on risk-sensitive control with full observation (English)
0 references
6 October 1998
0 references
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.
0 references
Bellman equation
0 references
risk-sensitive control
0 references
full observation
0 references
existence of a unique solution
0 references
small noise limit
0 references
differential game
0 references
