Connections between stochastic control and dynamic games

DOI10.1007/BF01211853zbMath0874.93096OpenAlexW2004276046MaRDI QIDQ1356624

Lorenzo Meneghini, Wolfgang J. Runggaldier, Paolo Dai Pra

Publication date: 9 June 1997

Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01211853

zbMATH Keywords

relative entropyfree energyLegendre transformrisk-sensitive stochastic controldual gamesstochastic dynamic game

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Probabilistic games; gambling (91A60)

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