scientific article; zbMATH DE number 1254163

MaRDI QIDQ4227199zbMATH OpenFDO

Authors Makiko Nisio

Publication date 23 February 1999

zbMATH Keywords

Hamilton-Jacobi-Bellman equationLegendre transformationlogarithmic transformationrisk sensitive criterionstochastic differential gameupper Isaacs equationviscosity solution

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic games, stochastic differential games (91A15) Transformations (93B17) Optimal stochastic control (93E20)

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