The equivalence between infinite-horizon optimal control of stochastic systems with exponential-of-integral performance index and stochastic differential games
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Publication:4306977
DOI10.1109/9.310029zbMath0930.93084MaRDI QIDQ4306977
Publication date: 9 February 2000
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/9.310029
stochastic control; large deviations; stochastic differential game; infinite-horizon exponential-of-integral performance index; risk-sensitive LQG problem
93E20: Optimal stochastic control
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