Some results on risk-sensitive control with full observation
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Publication:1381319
DOI10.1007/s002459900067zbMath0896.93035MaRDI 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
Bellman equation; differential game; risk-sensitive control; small noise limit; existence of a unique solution; full observation
49L20: Dynamic programming in optimal control and differential games
91A23: Differential games (aspects of game theory)
35K55: Nonlinear parabolic equations
93E20: Optimal stochastic control
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