Exit time risk-sensitive control for systems of cooperative agents

DOI10.1007/S00498-019-0239-3MaRDI QIDQ2274526zbMATH OpenOpenAlexFDO

Authors Paul Dupuis, V. Laschos, Kavita Ramanan

Publication date 20 September 2019

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

Full work available at URL https://arxiv.org/abs/1807.06484

zbMATH Keywords

cooperative agentsmean fieldrisk sensitive decision makingstochastic control theory

Mathematics Subject Classification ID

Decision theory (91B06) Optimal stochastic control (93E20)

Abstract: We study sequences, parametrized by the number of agents, of many agent exit time stochastic control problems with risk-sensitive cost structure. We identify a fully characterizing assumption, under which each of such control problem corresponds to a risk-neutral stochastic control problem with additive cost, and sequentially to a risk-neutral stochastic control problem on the simplex, where the specific information about the state of each agent can be discarded. We also prove that, under some additional assumptions, the sequence of value functions converges to the value function of a deterministic control problem, which can be used for the design of nearly optimal controls for the original problem, when the number of agents is sufficiently large.

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Cited in

(2)

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