Min-Max Characterization of a Small Noise Limit on Risk-Sensitive Control

DOI10.1137/S0363012995279420MaRDI QIDQ4377387zbMATH OpenOpenAlexFDO

Authors Alain Bensoussan, Hideo Nagai

Publication date 9 February 1998

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

Full work available at URL https://doi.org/10.1137/s0363012995279420

zbMATH Keywords

\(H_\infty\)-controldifferential gameHamilton-Jacobi-Isaacs equationnonlinear systemsrisk sensitive controlsmall noise limitviscosity methods

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Dynamic programming in optimal control and differential games (49L20) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20)

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Cited in

(12)

• Multiple-objective risk-sensitive control and its small noise limit
• Convergence of discrete-time deterministic games to path-dependent Isaacs partial differential equations under quadratic growth conditions
• Zero-sum risk-sensitive stochastic games on a countable state space
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• Zero-sum risk-sensitive stochastic differential games
• Small Parameter Limit for Discrete-Time Partially Observed Risk-Sensitive Control Problems
• Finite Time--Horizon Risk-Sensitive Control and the Robust Limit under a Quadratic Growth Assumption
• Nonzero-sum risk-sensitive stochastic differential games with discounted costs
• Comparison principle for unbounded viscosity solutions of degenerate elliptic PDEs with gradient superlinear terms
• Small parameter limit for ergodic, discrete-time, partially observed, risk-sensitive control problems
• Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach
• Uncertain differential game with risk-averse players

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