The equivalence between infinite-horizon optimal control of stochastic systems with exponential-of-integral performance index and stochastic differential games (Q4306977)
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scientific article; zbMATH DE number 644366
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| English | The equivalence between infinite-horizon optimal control of stochastic systems with exponential-of-integral performance index and stochastic differential games |
scientific article; zbMATH DE number 644366 |
Statements
The equivalence between infinite-horizon optimal control of stochastic systems with exponential-of-integral performance index and stochastic differential games (English)
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9 February 2000
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large deviations
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infinite-horizon exponential-of-integral performance index
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stochastic control
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stochastic differential game
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risk-sensitive LQG problem
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0.8260658979415894
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0.8067866563796997
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0.7845274209976196
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