Some results on risk-sensitive control with full observation (Q1381319)

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.