Some results on risk-sensitive control with full observation

DOI10.1007/s002459900067zbMath0896.93035OpenAlexW3186532944WikidataQ127579755 ScholiaQ127579755MaRDI QIDQ1381319

Jens Frehse, Alain Bensoussan, Hideo Nagai

Publication date: 6 October 1998

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s002459900067

zbMATH Keywords

Bellman equationdifferential gamerisk-sensitive controlsmall noise limitexistence of a unique solutionfull observation

Mathematics Subject Classification ID

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

Related Items (13)

Risk-sensitive asset management in a general diffusion factor model: risk-seeking case ⋮ Zero-Sum Risk-Sensitive Stochastic Differential Games ⋮ Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem ⋮ Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach ⋮ Downside risk minimization via a large deviations approach ⋮ Zero-sum risk-sensitive stochastic games on a countable state space ⋮ Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions ⋮ Existence of solutions to the Hamilton-Jacobi-Bellman equation under quadratic growth conditions ⋮ A uniqueness result for the Isaacs equation corresponding to nonlinear \(H_\infty\) control ⋮ Nonzero-sum risk-sensitive stochastic differential games with discounted costs ⋮ On the parabolic equation for portfolio problems ⋮ BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations. ⋮ Risk-sensitive control for a class of diffusions with jumps

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