Bellman Equations of Risk-Sensitive Control

DOI10.1137/S0363012993255302zbMath0856.93107MaRDI QIDQ4874942

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Publication date: 11 February 1997

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

asymptoticsrisk-sensitive control problemslarge deviation principleBellman equationsbreaking downergodic type control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Nonlinear parabolic equations (35K55) Optimal stochastic control (93E20) Large deviations (60F10)

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